WG Val #5/2017 An IFRS 9 Validation Framework for Wholesale Models

Working Group presentation by ANZ

Agenda

1. Executive Summary
2. Fitness for Purpose
3. Model Performance Indicator (MPI)
4. Model Performance of Core Model
5. Data Quality & Population Stability
6. Staging Assessment / SICR
7. Conceptual Soundness & Model Design
8. Assurance of Operational Integrity
9. Appendix – BCBS Guidance on Model Validation – Principles 1 & 5

Contact person:

Nina Brumma

Location:

Webex