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Semelhante a Internal Ratings Validations
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Internal Ratings Validations
- 1. Results of BBA/ISDA/RMA IRB Validation Study BBA/ISDA/RMA Advanced IRB Forum Monika Mars London - June 23, 2003
- 3. Survey Approach Survey research and design Data collection, and analysis Report preparation Report presentation Interviews Jan – Feb 2003 June 19/23 Feb – Mar 2003 1 st Draft Mid March 2003 Final Report Draft – early May 4 th Quarter 2002
- 4. Survey responses covered all asset classes representing a diverse group of institutions
- 6. Internal ratings are key to managing the business at most firms
- 7. Most banks use “Master Scales” to compare ratings information across portfolios
- 12. A variety of model types are employed within each asset class 5 7 10 Hybrid 17 2 7 External Vendor 8 11 15 Expert Judgement 23 4 7 Statistical Retail Middle Market Corporate Model Type
- 16. The performance of statistical rating models is achieved through a number of different techniques
- 17. Different triggers are used to evaluate the overall performance of expert judgement rating models
- 18. A variety of techniques are employed for evaluating vendor models