Current expected credit loss (CECL) modeling

By Xiaoling (Sean) Yu, SVP, Director of Model Validation, KeyBank

Ahead of the upcoming Model Risk Management Congress taking place on September 27-28 in Boston, Xiaoling (Sean) Yu, SVP, Director of Model Validation, KeyBank has released his PDF presentation from the 2018 Risk Americas Convention. These slides go in depth into:

• Risk philosophy of CECL
• Leveraging existing credit risk models
• Reasonable and supportable (R&S) period?
• Modeling approach
• Macroeconomic variable selection
• Model performance testing

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