10 August 2015
Lenders are currently deciding what methodology to adopt to answer new modelling questions implicit in the Standard. On 4 August the Credit Research Centre organised a one day Workshop to bring together modellers from a range of backgrounds to discuss methodological issues surrounding the standard.
Seventy five delegates from a wide range of banks, consultancies, credit bureaux and universities to discuss the issues. They heard presentations from Kumar Dasgupta, a Technical Director at the International Accounting Standards Board who explained the Standard. Ben Fowles from Oliver Wyman described some of the anticipated affects of the Standard and some of his experiences gained from helping organisations with it. Dr Tony van Gestel, CEO of Dexia Bank in the Netherlands, gave a detailed description of models and methodologies that Dexia is using. Dr Mark Somers, Technical Director at consultants 4-most stimulated discussion by discussing a range of methodologies that might be used and raising some open questions. Dr Scott Aguais from Aguais & Associated Ltd explained approaches to estimating point-in-time models for impairment modelling that included macroeconomic variables. Phil Dransfield , Decision Science Director at TSB explained some of the challenges of IFRS9 modelling that had come to light from experience at TSB and Steven Hall, a partner at KPMG discussed the implications of the new standard for a bank’s Board, for rating agencies and for regulators.
Delegates found the event extremely worthwhile and many asked for another Workshop on the same topic early in 2016 when lenders had made further progress with their models.