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35 events found.
Events
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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 |
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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 |
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