CECL methodologies come in a variety of shapes and sizes. In fact, at any given measurement date, two different CECL-compliant methodologies would result in different allowance levels. The quantitative methodologies also have an impact on qualitative factor frameworks, leading to even more diversity amongst modeling approaches. No matter what method(s) are chosen, with the benefit of hindsight, a good backtest as a part of a Model Risk Management function will help inform the users if the current methodologies and frameworks are working as intended.
Join us on March 23rd to go through a real-life example of how to backtest a CECL model using a cash flow model. We will discuss how to backtest at the input level including Probability of Default, Loss Given Default, and Prepayment Speed Assumptions as a means to understand the specific drivers of the results as well as how to backtest at the output level for a comprehensive overview.
As a subscriber, you'll enjoy exclusive offers and product updates directly from Valuant. Providing additional information will help us deliver the updates you care about most. We value your privacy and promise never to share you personal information or email address.