Working Group & Methcom Schedule

Dr. Markus Seiffert, Philipp Gerold and Anne Kleppe from d-fine zoom into the challenges of extracting PD term structures from rating migration data. Some background: The datapool members gave d-fine access to the rating migration data GCD is pooling. The presentation summarizes the results and the methodology. Additional analytics and a whitepaper / article will follow in the upcoming weeks.   Contact person:Daniela Thakkar Location:Webex call

This WG meeting was set up to allow an open discussion on how to deal with calculating a historical “forward-looking, point-in-time PD”. The material serves as basis and is intended to initiate the knowledge exchange between the organizations on that topic.   Contact person:Daniela Thakkar Location:Webex call

This WG meeting is set up to discuss the proposed key activities in the working group in 2017.  a) a “quantitative study” to support the calibration process (H1/2017) and  b) a “methodogolical survey” on validation and calibration methods (H2/2017), together with the working "Validation"   Contact person:Daniela Thakkar Location:Webex call

WG meeting with the following agenda:  a. Treatment of reverse repos / stock borrowing transactions: What is the lifetime of these transactions, what are methods applied to calculate ECL b. Cash collateral assets (mainly initial margin balances for derivatives) – do banks calculate ECL on this, what methods are applied, what is the lifetime of these positions? Contact person:Daniela Thakkar Location:Webex call