WG Val #1/2016 Kick-off working group Validation
Agenda Discussion Groups aims Dialogue: What are your expectations? Roadmap Next steps Contact person:Nina Brumma Location:Webex call
- About GCD
- Data Pooling: PD & LGD
- Library: Research & Publications
- Utility: Analytics & Products
- Services: Benchmarking
GCD's Mission is to help banks understand and model credit risks. The comprehensive data pools are collected over a decade and distributed back to members for their own research and modelling.
GCD is a unique data consortium that owns banks internal data for both PD and LGD. GCD’s data pools support the key parameters of banks’ credit risk modelling: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD).
GCD’s library gives access to wide variety of publications on risk related topics. Global Credit Data members work together to analyse the data and discuss methodology issues. GCD has published numerous papers and is actively promoting academic research on the data collected.
Members not only benefit from exclusive rights and access to credit databases and analytics, but also from knowledge and research facilitation possible via the unique industry association.
Through a variety of forums such as workshops, webinars and surveys, GCD is an active industry participant facilitating the discussion in key strategic areas.
Global Credit Data collects raw data from its members and distributes it back to them for use in their own analysis and modelling. GCD supports its members by providing a flexible high-end tool on the data pool: the GCD Visual Analyzer. Member banks can create dynamic Reference Data Sets and generate instant views on the data.
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WG ODF #7/2016: Critical Mass Rules
WG ODF #7/2016: Critical Mass Rules Contact person:Daniela Thakkar Location:Webex call
WG ODF #8/2016: Further analytics / research
WG ODF #8/2016: Further analytics / research Contact person:Daniela Thakkar Location:Webex call
WG Val #2/2016 Introduction to Validation
Agenda Introduction of new FG chair What is validation? Recent regulatory developments: TRIM IF GCD 2014 Survey results on validation Next steps / Timeline Contact person:nina brumma
WG IFRS 9 #8/2016: From Basel II credit models to IFRS 9 provisions
Scott Aguais, Larry Forrest and Gaurav Chawla present on the challenges of expect loss modelling under IFRS 9. Focus: Convexity and correlation effects in expected credit loss modelling, which ultimately also impacts the number and types of scenario’s for IFRS 9 / CECL implementation. Scott Aguais is a former board member of Global Credit Data and has worked with both RBS and Barclays developing and implementing credit risk models. . Contact person:Daniela Thakkar Location:Webex call
WG Val #3/2016 Credit Risk Validation in UniCredit Bank Austria AG
WG presentation from UniCredit Austria Contact person:Nina Brumma Location:Webex
This is an event only for WG Board
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WG Val #4/2016 Pitfalls of Rating (PD) Model Validation and how to avoid them
WG presentation by Raiffeisenbank Agenda 1) Pitfalls of Discriminatory Power Validation 2) Pitfalls of PD Validation 3) Discussion Contact person:Nina Brumma
WG IFRS 9 #9/2016: Modelling “Significant deterioration” under IFRS 9
Scott Aguais, Larry Forrest and Gaurav Chawla present on the challenges of modelling "Significant increase in credit risk (SICR)". Scott Aguais is a former board member of Global Credit Data and has worked with both RBS and Barclays developing and implementing credit risk models. Contact person:Daniela Thakkar Location:Webex call
WG Val #5/2016 LGD Validation for Non-Performing Loans
WG presentation by KfW Agenda 1) Background on LGD for NPL 2) Backtesting for ELBE and LGD in-default Contact person:Nina Brumma
WG Val #6/2016 AIRB Wholesale Model Validation Tests and Challenges
WG presentation by ANZ
This is a event for OGprivate
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