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
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
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 presentation from UniCredit Austria Contact person:Nina Brumma Location:Webex
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WG presentation by Raiffeisenbank Agenda 1) Pitfalls of Discriminatory Power Validation 2) Pitfalls of PD Validation 3) Discussion Contact person:Nina Brumma
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 presentation by KfW Agenda 1) Background on LGD for NPL 2) Backtesting for ELBE and LGD in-default Contact person:Nina Brumma
WG presentation by ANZ
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The business discussed at the meeting included: 1. Approval of the Minutes of the General Meeting of members held on 20 and 21 June 2016 2. Brief interim report of activities 3. Brief interim financial report, including 2016 forecast vs budget 4. Election of a new Chairperson of the Board 5. Election of Board Members Please find attached the resolution pack and the draft minutes of this meeting. Contact person:Philip Winckle Location:Webex call
Working Group meeting Location:Webex
WG #9/2016: Analytics PD termstructures Contact person:Daniela Thakkar Location:Webex call
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