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Downturn LGD Study 2017

by | Dec 1, 2017

Description:Does loss given default (LGD) depend on the economic cycle and if so how can it be measured? This question still concerns risk modellers and regulators as part of their comprehensive risk assessment. In 2013 GCD published a first downturn LGD study based...

Variety of methodologies used in IFRS 9 impairment modelling

by | Oct 31, 2017

Description:This presentation has been prepared by GCD executives to present at the Task Force Provisioning of the Basel Committee. It zooms into the reasons of variability of ECL between banks. The study is citing elements from our IFRS 9 survey and includes...