Current expected credit loss (CECL) modeling

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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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