Please join us on August 13th at 2 PM ET, for the Quarterly Economic Briefing webinar. Dr. Victor Calanog, Head of Commercial Real Estate Economics at Moody's Analytics REIS, will discuss the latest trends in multifamily and commercial real estate performance metrics. In what may be a quarter where we experienced the largest decline in economic activity on record, how did different property types and geographic markets perform? What should we expect for the remainder of the year, and beyond?

For the most part, these approaches require a time horizon and statistic of interest (such as the mean or CTE) to be specified ahead of time. Extending the techniques beyond a single point in time creates a problem of path dependence, meaning the function fitting takes place over a potentially high-dimensional space of risk variables.  

In this paper, we consider the application of more recent “deep learning” techniques to these problems. We develop a proxy for the insurance liability cash flow model itself, considered as a rule that associates a time series of cash flows to a series of risk variables. The machine learning algorithm we use (LSTM) is particularly adept at handling this sort of problem structure, and we can train proxy functions to reproduce cash flows with a high degree of accuracy.

We demonstrate the power of this approach using two examples involving a portfolio of complex variable annuities: cash flow testing and projected liability...

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Following last week’s review of increasing loan modifications in retail and lodging, this week we examine the actual types of modifications reported for these two struggling sectors. For lodging loans, where modifications are most prevalent (approximately 9% of UPB versus 4% for retail), forbearance is agreed upon at the highest rate. With 86% of all modifications for this property type falling into the categories of forbearance or “other,” the ability of lodging tenants to call upon liquid assets, such as cash reserves, continues to be significant.  In contrast, retail operates with fewer reserves and generally less liquidity. Combining this with a greater proportion of retail loans nearing maturity, it is logical that modifications for this property type are most often found to be maturity date changes or combinations, which include amortization and rate changes.

As the fallout from the pandemic continues to evolve, and stakeholders get a better grip on the...

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This industry-leading credit scoring platform allows clients to assess the default and recovery risk of private firms and financial institutions. They use RiskCalc models to generate forward-looking probability of default, loss given default, and expected loss credit measures.

“We appreciate the voters again selecting the RiskCalc solution,” said Nihil Patel, Managing Director at Moody’s Analytics. “We’re proud that it continues to hold such a prominent position in this space. It means that our clients are achieving their business goals and strengthening their credit and financial risk practices, throughout the credit lifecycle.”

The RiskCalc solution is powered by the Moody’s Analytics Data Alliance, one of the world’s largest and most comprehensive data consortia. It now integrates with the Moody's Analytics Credit Sentiment Score™ tool, so RiskCalc users can benefit from AI-powered media tracking, and adverse credit signals from news...

Join us on Tuesday, July 28th for the second in our series of updates to the webinars Moody's Analytics & Raymond James hosted in April & May on the impact of COVID-19 on the economy, mortgages, CRE and U.S. autos. Our second webinar will discuss COVID-19's current impact on mortgages.This webinar will provide expert insight and trend analysis of U.S. mortgage market in the age of COVID-19. Join John Toohig, Head of Whole Loan Trading at Raymond James, and Cris deRitis, Deputy Chief Economist, at Moody's Analytics for this candid conversation covering: