Working Paper

CECL Implementation and Model Risk in Uncertain Times: An Application to Consumer Finance

José Canals-Cerdá

Senior Special Advisor

February 2024

WP 24-03 (Superseded by WP 26-09)

This paper was superseded by Working Paper 26-09 – Model Risk Under CECL: A Consumer Finance Perspective.

Can We Take the “Stress” Out of Stress Testing? Applications of Generalized Structural Equation Modeling to Consumer Finance

José Canals-Cerdá

January 2021

WP 21-01 – Financial firms, and banks in particular, rely heavily on complex suites of interrelated statistical models in their risk management and business reporting infrastructures.

Consumer Credit

Working Paper

Bank Stress Test Results and Their Impact on Consumer Credit Markets

Sumit Agarwal,
Xudong (Sean) An,
Larry Cordell &
Raluca A. Roman

July 2020

WP 20-30 - Using Federal Reserve (Fed) confidential stress test data, we exploit the gap between the Fed and bank capital projections as an exogenous shock to banks and analyze how this shock is transmitted to consumer credit markets.

Consumer Credit

Working Paper

From Incurred Loss to Current Expected Credit Loss: A Forensic Analysis of the Allowance for Loan Losses

José Canals-Cerdá

March 2020

WP 20-09 - The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit losses.