Working Groups

Members' needs for discussion of best practice in data, modelling and risk measurement is well served by ad hoc working groups.  Often the key benefit of these groups is the discussion and cross information about best practices, while some will also produce an output paper.

Recently completed working groups covered the topics of: Commercial Real Estate, Project Finance, Downturn LGD and Banks and Counterparties in Financial Markets

The following working groups are active within Global Credit Data.  For some working groups non member participation is allowed.  Please consult Global Credit Data using the contact form should you be interested.

 

IFRS 9 / CECL impairment models
This working group enables knowledge exchange & discussions on modelling approaches for impairments based on (life-time) expected losses. 
Chair: Dr. Wolfgang Reitgruber, Unicredit Bank Austria (Austria)
Contact: Daniela Thakkar, Executive


Data Quality

This working group operates at the heart of Global Credit Data’s operations. It explains and tightens the data definitions & requirements for the LGD/EaD datapooling. It checks proposals for changes in the data model and creates examples that are useful for member bank
Chair:    Martin Lulic, KFW (Germany)
Contact: Christine Kersten, Executive


Model Benchmarking
This working group looks at all sorts of aspects to benchmark modelling of RWA/Expected Loss. Umbrella commitee for controlling all of the various surveys, benchmarking collectons and analytics. Current main actvity is controlling analytics for the IIF impact analysis work on IRBA and Revised Standardised Approach
Chair: Richard Crecel, Société Générale (France)
Contact: Philip Winckle, Executive


Observed Default Frequency (ODF)
This working group currently oversees the project to build a new PD/ODF collection tool which enables - next to the previous 1-year PDs/ODFs -  the collection of migration matrices and multi-year ODFs, both very relevant for stress testing and impairment modelling. First collection with new tooling (including End of 2015 data) sucessfully implemented.
Chair: Michel van Beest, NIBC (Netherlands)
Contact: Daniela Thakkar, Executive


Trade & Commodity Finance
This working group aims at increasing the quantity and quality of Trade an Commodities Finance data through marketing , sharing knowledge, data audit and revised definitions.
Chair: Claire Kouwenhoven–Gentil, Rabobank (Netherlands)
Contact: Martial de Bienassis


Stress Testing
This working group aims to explore the credit risk component of current financial institution stress tests.  Members will review stress testing practices through a survey and share ways of handling the difficulties.
Chair:    Daan Besamusca, NIBC (Netherlands)
Contact: Daniela Thakkar / Philip Winckle, Executive


Discount Rate in LGD calculation

The level of discount rate used has a large effect on the calculation of Loss Given default, especially for workout cases covering several years.  This group aims to review the literature and regulations in this area and study the different ways of producing a discount rate. The working group has issued a detailled paper for the edification of banks and regulators.
Chair:    Stephan Jortzik, Westpac (Australia)
Contact: Philip Winckle, Executive


Regulations around IRB Advanced methodology
This working group aims to ensure that the banks are kept informed about what regulators are publicly saying and doing globally with respect to Basel rules and their implementation when it comes to credit PD, LGD and EAD.
Chair:    Antonio Ruiz, Credit Suisse, London
Contact: Philip Winckle / Daniela Thakkar, Executive


North American based focus groups


1. Segmenation focus group

Data model and documentation on review to ensure that the LGD data set can be used for US product segments:

- New documentation and guidance
- Revising data templates for specialised areas of financing in ABL and equipment financing and industries
- Now considering specific segmentation needs for CCAR and CECL

2. CCAR focus group

This working group enables knowledge exchange & discussions on modelling approaches used within the CCAR process. Last delivery was detailed survey response document and a whitepaper. 

Contact: Steve Bennett, North American Executive