CECL Services

Oxford Economics' solution for projecting expected credit losses under the CECL accounting standards.

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Overview

With over 35 years of independent forecasting and risk analysis experience, we are uniquely placed to calculate expected credit losses under the CECL accounting standards.

Bespoke scenarios for CECL

We provide an unbiased view of the forward-looking distribution and associated probabilities for the macroeconomic outlook for the United States, all 50 states and 382 metro areas.

Baseline, upside and downside macroeconomic scenarios

Spanning the probability distribution of forecasts and covering the expected lifetime of assets.

Regular updates

Scenarios for CECL are updated quarterly to reflect emerging risks and changes to the base case.

Extensive reporting

Detailed changes from the last set of scenarios based on our analysis of current trends and risks.

Comprehensive variable coverage

Macroeconomic and financial variable outputs cover the key drivers of impairment. Fully consistent scenario results are available for all US States and Metropolitan Statistical Areas (MSAs).

CECL scenario service

Discover more about our methodology, our approach and the clientele of our service

What is our methodology?

The methodology used to construct our forward-looking distributions is similar to that of major central banks when assessing the risks around their central projections.

Based on these robust distributions, we derive coherent economic scenarios along with their probability. Crucially, our approach ensures that the only changes to scenarios from quarter to quarter are due to a transparent assessment of emerging or receding risks.

What is our modelling approach?

At the centre of our approach is our renowned Global Economic Model, which integrates individual country models through global assumptions about trade volume and prices, competitiveness, interest and exchange rates, capital flows and commodity prices.

The model’s unique open-architecture framework enables us to assess the impacts of adverse scenarios on economic indicators and a range of asset classes.

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What are our endorsements?

Oxford Economics is a key advisor to some of the world’s largest financial institutions which rely on our Global Economic Model for their stress testing and other regulatory requirements.

We support major financial institutions in the UK, Eurozone, Asia, Middle East and Africa with our IFRS 9 solution.

IFRS 9 Scenario Service

1 out of 3

“CMHC’s Stress Testing and ORSA team has started this year using Oxford Economics for the purpose of stress-testing. Our experience has been very positive. The software is sound, intuitive and user friendly. But most of all, it allows the user to understand the links between the variables and for a certain degree of customisation.”

Mirza Arifhodzic, Senior Manager, Stress-Testing and ORSA

2 out of 3

Services provided are always delivered timely according to the agreed timetable. Output is solid and in discussions OE has shown to be very responsive and proactive. Turnaround time is quick.” 

Maarten Leen, Head of Global IFRS9 Macroeconomic Scenarios

3 out of 3

“We wanted to bring our climate assumptions and scenarios more in line with those used by central banks in their climate stress test analysis, so we have worked with Oxford Economics to apply their climate macro model to our productivity, GDP and inflation forecasts.

 

Oxford Economics has always been available to respond to our queries and provided insightful explanations for the impact of carbon pricing on macroeconomic activity in their model. We are very satisfied with their rigorous approach in modelling climate change and are happy to have collaborated with them.”

 

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Contact us

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