by Jonathan Leonardelli, FRM | Sep 5, 2017 | Regulations
Calculating expected credit losses under IFRS 9 is easy. It requires little more than high school algebra to determine the aggregate present value of future cash flows. But it is not easy to ascertain the key components that are used by the basic equation—regardless...
by Jonathan Leonardelli, FRM | Aug 4, 2017 | Regulations
Under IFRS 9, Financial Instruments, banks will have to estimate the present value of expected credit losses in a way that reflects not only past events but also current and prospective economic conditions. Clearly, complying with the 160-page standard will require...
by Jonathan Leonardelli, FRM | Apr 27, 2017 | Business Analytics
The Federal Reserve and the OCC define model risk as “the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports.”[1] Statistical models are the core of stress testing and credit analysis, but banks are increasingly...
by Jonathan Leonardelli, FRM | Feb 4, 2013 | General
What makes for a successful risk quantification process? Prior to joining the firm I thought it was all about analytics (my own specialty). I’ve come to realize that a happy marriage between data, analytics, and reporting needs to take place. Each component brings...
by Jonathan Leonardelli, FRM | Feb 4, 2013 | General
Albert Pujols, one of the best baseball players in the game today, did not start the 2011 baseball season well. Prior to 2011 he had a lifetime batting average (BA) of .331 – that’s almost one hit for every at bat! However, much to the dismay of Cardinals fans (of...