In Q4/2017, Global Credit Data conducted a benchmarking study that found significant variation in the credit loss estimates of the 19 participating IFRS 9 banks—all of which used a well-defined hypothetical portfolio and a common scenario to calculate their expected credit losses (ECL).
The main drivers for this variability lie in the different methodologies, data sources and assumptions used to derive point-in-time probabilities of default, loss given default, multi-year probability of default curves and expected life-time (maturity) for revolving facilities.
These differences occurred even though participating banks based their estimates on a common macro-economic forecast and were provided with detailed specifications (e.g. a given maturity, a fixed loan-to-value ratio, a pre-determined industry) for each hypothetical borrower to be assessed. More information on the results of study can be found here.
The study will be re-run in 2018 with the templates to be delivered in by June 30th, 2018. Also non-members can join the study. Please contact us for further information.