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
LGD Subcommittee #4/2017 Location:Webex call
Scott Aguais / Larry Forest / Gaurav Chawla from AAA present: - Scenario design choices - Pro’s and Cons of different approaches - Industry feedback on scenario design - Some quantitative feedback on different scenario building approaches (“Variance Compression Bias”) - Validation of scenarios received from economic departments - How to incorporate economic cycles, mean reversion and starting assumptions Contact person:Daniela Thakkar Location:Webex call
Discussion Red-line report Contact person:Daniela Thakkar Location:Webex call
Working Group meeting Location:Webex
In an open atmosphere and with a small group of practictioners from the modelling and validation departments, we discussed the various data collections run by GCD at the moment. Member banks used the possibility to share notes and thoughts on benchmarking with peers in the Nordic region. The agenda included: • the new GCD Benchmarking platform (where many Nordics have indicated to participate), • the usage of the GCD Rating and Defaults database for the Nordics region, • the GCD proposal to run a special IFRS 9 quantitative impact study and • other topics relevant for Nordic members. Contact person:Daniela Thakkar Location:Stockholm, Sweden Aganda:https://www.globalcreditdata.org/wp-content/uploads/2017/04/agenda_gcd_nordicsroundtable_20170331_v3.pdf
Working Group presentation by Danske Bank Agenda Validation scope Validation approach LGD validation Contact person:Nina Brumma Location:Webex
LGD Subcommittee #5/2017 Location:Webex call
Main focus: DIscussion new data return format Contact person:Daniela Thakkar Location:Webex call
WG meeting to discuss our proposal of an IFRS 9 quantitative benchmarking study. The idea originated from one of our member banks and can be performed by GCD provided we have enough member support. Contact person:Daniela Thakkar Location:Webex call
Working Group presentation by ANZ Agenda Executive Summary Fitness for Purpose Model Performance Indicator (MPI) Model Performance of Core Model Data Quality & Population Stability Staging Assessment / SICR Conceptual Soundness & Model Design Assurance of Operational Integrity Appendix – BCBS Guidance on Model Validation – Principles 1 & 5 Contact person:Nina Brumma Location:Webex
