Over the past few years, the European Regulator has initiated a process or harmonization of IRB models practices and methodologies across EU Countries and Banks aiming at reducing the RWA variability due to non risk-related topics. Recent times have indeed seen a proliferation of Regulation, RTS and Guidelines covering several topics, from default definition to IRB models, which Banks are obliged to comply with by end of 2020.
The aforementioned compliance with new rules will pose important challenges for EU Banks, in consideration of several aspects, among them the effort required in terms of data preparation as well as the workload and knowledge necessary for models re-estimation/re-calibration and, last but not least, the potential impact in terms of RWA/capital increase.
In this webinar, leading IRB practitioners from Prometeia, Belfius and Erste Group discussed:
Head of Prometeia’s IFRS 9 development team, Christian has a 10+ year experience as a credit risk models developer within the context of worldwide banks as well as non-financial companies, in coherence with the Basel2 and IFRS 9 regulatory compliance. The projects have been executed across retail, SMEs, corporate portfolio and large corporate portfolio, consisting of private individuals/companies, government companies and financial institutions.