In this course we explore the implications of the new CECL (Current Expected Credit Losses) allowance models for credit portfolio management and the allowance process. Under CECL allowances are generally more reactive to changes in the credit environment (by intent), with a more pronounced manifestation of concentration risk. This should have organizations quantify concentration risk in the allowance process and in credit portfolio management. Finally, we explore the degree to which CECL’s forward looking measures lend themselves to more robust measurement and management of concentration risk.
Dr. Amnon Levy heads the group responsible for research development and quantitative services related to Moody’s Analytics portfolio and balance sheet solutions.
Amnon has a BA in economics from the University of California at Berkeley and a PhD in finance from the Kellogg Graduate School of Management, Northwestern University. Prior to joining Moody’s Analytics, he was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley. He has also taught corporate finance at the Kellogg School of Management, Northwestern University, and worked at the Board of Governors of the Federal Reserve System. He is currently teaching a course on credit risk in the Haas School of Business MFE program.
Amnon has been published in the Journal of Financial Economics, the Journal of Monetary Economics, the Encyclopedia of Quantitative Finance, the Journal of Banking and Finance, and the Journal of Risk Model Validation. His current research interests include the impact of credit in ALM, and unifying the management of regulatory capital, economic risks, and the impact of accounting rules.
Masha Muzyka is a senior director and leads a team of Risk and Accounting practitioners with subject matter expertise across Moody’s Analytics solutions, products and services. Masha works with a variety of financial institutions including Banks, Credit Unions and Insurance companies. Her current focus is CECL, IFRS 9, IFRS 17 and Targeted Improvements to the Accounting for Long-Duration Contracts, and Moody’s Analytics solutions enabling clients’ compliance with these standards. Masha spent over 17 years in financial industry in the U.S. in various roles, including audit, technical accounting policy, financial reporting. Masha led fintech implementations and oversaw strategic relationships with regional and community banks. Masha holds a Bachelor of Economics degree from the Moscow State University; is a CPA licensed in VA; and is a member of AICPA.