In the recent past a number of regulatory requirements have introduced new challenges for the IRB risk parameter model development. Parallel to the changing regulatory setting, ECB has conducted a large number of the TRIM inspections where banks IRB risk parameter models had been taken under the close scrutiny, and those models in review had received a number of findings so that the financial institutions had to decide whether they should amend their existing IRB PD, LGD and EAD models, or should rather redevelop them based on the new data quality and new default definition requirements. In either case, a number of challenges were faced by the banks with several consequences when they have embarked on their IRB Repair Programmes.
Earlier this year, we have organised the ‘Inspiring Credit Risk Modelling Conference’ in February where concerns were voiced by the risk management practitioners as various technical and organisational hurdles have been impeding the conduct of the institutions’ IRB Repair programmes. Such IRB Repair Programmes by and large were expected to address methodological, data driven, methodology driven model short comings, and were agreed upon with the Joint Supervisory Teams along side a time plan with specific milestones which would subsequently lead to model change submissions.
To reflect some of the key observations we have made on current and recent projects in-depth understanding of IRB dynamics, we would like to invite you to our IRB Home-Schooling webinar series, which will be organised online from Monday the 12th October to Tuesday the 3rd November 2020. This will allow you to participate at an international conference on the IRB 2.0 topics while remaining completely in a safe environment.
The event will feature nine intensive webinar sessions/modules, starting with the introductory module on the 12th October. Our international experts will be available throughout the webinar series to share their experience and answer your questions. We will share experiences from the completed IRB Repair programmes and give you ample evidence of the market practice related to the challenges of IRB 2.0 framework.
Please confirm or manage your registration using the registration button on the upper part of this page , which will take you to a website with further details about the event information and your personal registration details.
We will send you a confirmation email once you were registered successfully for the event.
We look forward to seeing you!
Partner, Global Basel IV/CRR II Leader PwC Germany
Director - Regulatory Management - Regulatory Quant Team PwC Germany
Luis Filipe Barbosa
Partner, Risk modelling & RWA workstream leader PwC Portugal