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OverviewAgenda

Overview

Now more than ever it is critical to connect and talk about real-time risk management and business challenges that organizations are facing. Moody’s Analytics experts and your peers will address recent changes in the credit market and discuss new approaches to credit risk management.

The discussions topics will include:

Virtual User Forum Experience

This event is the excellent opportunity to gain perspective on practical use cases and applications of default and recovery metrics.

Agenda

11:30 AMKeynote: Economic Outlook

Speaker: Cris deRitis

12:00 PMWelcome and Opening Remarks

Speaker: Nihil Patel

Breakout Sessions One

12:20 PMBreakout 1A: Early Warning Evolution: Going Beyond Traditional Risk Measures

An overview of our new Early Warning System, a scoring system that supports better and faster decision-making by assessing a combination of different types of signals: credit risk metrics, macroeconomic inputs, and artificial intelligence (AI) tools that provide smart news and credit sentiment scores.

Speakers: Ryan O’Malley, Ryan Donahue, Antoine La, Sam Malone

Breakout 1B: Stress Testing in Uncertain Times: Using Scenario Analysis to Forecast Losses

COVID-19 has highlighted the need to manage portfolios under a variety of different scenarios. We will explore challenges risk managers may face when conducting stress testing in uncertain times. We will discuss key differences between stressing public and private C&I exposures, demonstrate CECL compliance use cases, and pinpoint risky industries in the event of COVID-19 resurgence.

Speakers: Uliana Makarov, Glenn Levine, Reggie White

Breakout 1C: Navigating the New Normal: Trends of Credit Risk Measures Through the Pandemic & Beyond

As we observe the turmoil and recovery in global equity markets due to COVID-19, we analyze the types of companies that experience significant impact versus moderate impact as well as provide insights on such differences. We will highlight the importance of reactive risk measures during the pandemic for monitoring, loss provisions, leveraged lending and portfolio management.

Speakers: Zhong Zhuang, Michael Zeng, Dinesh Bacham

Breakout 1D: Leveraging Pro Forma Financial Analysis to Reflect Market Impact on Your Portfolio

The global pandemic has changed the lending and business landscape. Lenders face new challenges around analyzing and planning for the impact on SME’s financial health, factoring in government support, and financing flexibility. We will share planning and analysis techniques and a framework designed to manage portfolios.

Speakers: Douglas Dwyer, Janet Zhao

1:00 PMBreak

Breakout Sessions Two

1:10 PMBreakout 2A: Information Overload: Using AI to Prioritize Credit-relevant News & Sentiment Scores

We will provide an overview of the new Credit Sentiment Scores and demonstrate how you can leverage signals from the news to complement your counterparty and portfolio credit risk analysis. We will help you understand how Credit Sentiment Scores can explain EDF movements and identify early warning signals during difficult market conditions.

Speakers: Antoine La, Ryan Donahue


Breakout 2B: Using EDF Measures and Ratings in Underwriting: An integrated Approach

The volatility in EDF risk measures andEDF-implied ratings poses a challenge for underwriters who generally prefer acredit measure that is stable and more through-the-cycle. We will provide anoverview of a new EDF-based implied rating that encompasses the agency ratingframework for both levels and volatility.

Speakers: Glenn Levine, Huiyan Xu, Maria Buitrago


Breakout 2C: Risk Metrics and Bond Spreads: Dynamics and Trading Strategies

Dive deeper into answering core buy-sidequestions around how bonds respond to credit risk shocks and get detailedperformance results for a general class of relative value investmentstrategies. We will also highlight results during the COVID-19 period, andpreview investment strategy results using the Alpha Factor metric from our newbond model.

Speakers: Sam Malone, Yukyung Choi

Breakout 2D: Incorporating Physical & Transitional Climate Risk in Probability of Default Estimation

Accounting for the effects of climate change is an important new development in internal risk modeling, regulatory stress-testing, and financial disclosure.  We will present our initiatives to account for climate risk in credit risk measures, and how to directly implement these insights into your existing modeling framework.

Speakers: James Edwards, Doug Dwyer

1:50 PMClosing Remarks

Agenda

11:30 AMKeynote: Economic Outlook

Speaker: Cris deRitis

12:00 PMWelcome and Opening Remarks

Speaker: Nihil Patel

Breakout Sessions One

12:20 PMBreakout 1A: Early Warning Evolution: Going Beyond Traditional Risk Measures

An overview of our new Early Warning System, a scoring system that supports better and faster decision-making by assessing a combination of different types of signals: credit risk metrics, macroeconomic inputs, and artificial intelligence (AI) tools that provide smart news and credit sentiment scores.

Speakers: Ryan O’Malley, Ryan Donahue, Antoine La, Sam Malone

Breakout 1B: Stress Testing in Uncertain Times: Using Scenario Analysis to Forecast Losses

COVID-19 has highlighted the need to manage portfolios under a variety of different scenarios. We will explore challenges risk managers may face when conducting stress testing in uncertain times. We will discuss key differences between stressing public and private C&I exposures, demonstrate CECL compliance use cases, and pinpoint risky industries in the event of COVID-19 resurgence.

Speakers: Uliana Makarov, Glenn Levine, Reggie White

Breakout 1C: Navigating the New Normal: Trends of Credit Risk Measures Through the Pandemic & Beyond

As we observe the turmoil and recovery in global equity markets due to COVID-19, we analyze the types of companies that experience significant impact versus moderate impact as well as provide insights on such differences. We will highlight the importance of reactive risk measures during the pandemic for monitoring, loss provisions, leveraged lending and portfolio management.

Speakers: Zhong Zhuang, Michael Zeng, Dinesh Bacham

Breakout 1D: Leveraging Pro Forma Financial Analysis to Reflect Market Impact on Your Portfolio

The global pandemic has changed the lending and business landscape. Lenders face new challenges around analyzing and planning for the impact on SME’s financial health, factoring in government support, and financing flexibility. We will share planning and analysis techniques and a framework designed to manage portfolios.

Speakers: Douglas Dwyer, Janet Zhao

1:00 PMBreak

Breakout Sessions Two

1:10 PMBreakout 2A: Information Overload: Using AI to Prioritize Credit-relevant News & Sentiment Scores

We will provide an overview of the new Credit Sentiment Scores and demonstrate how you can leverage signals from the news to complement your counterparty and portfolio credit risk analysis. We will help you understand how Credit Sentiment Scores can explain EDF movements and identify early warning signals during difficult market conditions.

Speakers: Antoine La, Ryan Donahue


Breakout 2B: Using EDF Measures and Ratings in Underwriting: An integrated Approach

The volatility in EDF risk measures andEDF-implied ratings poses a challenge for underwriters who generally prefer acredit measure that is stable and more through-the-cycle. We will provide anoverview of a new EDF-based implied rating that encompasses the agency ratingframework for both levels and volatility.

Speakers: Glenn Levine, Huiyan Xu, Maria Buitrago


Breakout 2C: Risk Metrics and Bond Spreads: Dynamics and Trading Strategies

Dive deeper into answering core buy-sidequestions around how bonds respond to credit risk shocks and get detailedperformance results for a general class of relative value investmentstrategies. We will also highlight results during the COVID-19 period, andpreview investment strategy results using the Alpha Factor metric from our newbond model.

Speakers: Sam Malone, Yukyung Choi

Breakout 2D: Incorporating Physical & Transitional Climate Risk in Probability of Default Estimation

Accounting for the effects of climate change is an important new development in internal risk modeling, regulatory stress-testing, and financial disclosure.  We will present our initiatives to account for climate risk in credit risk measures, and how to directly implement these insights into your existing modeling framework.

Speakers: James Edwards, Doug Dwyer

1:50 PMClosing Remarks

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