Benchmark your bank’s internal risk ratings systems against 26 of the world’s leading financial institutions

Benchmark your bank’s internal risk ratings systems against 26 of the world’s leading financial institutions

The new Global Internal Ratings Validation Survey presents validation approaches used by 26 leading financial institutions in Europe, North America, and Asia. Using the survey, you’ll be able to understand the wide range of validation techniques in use today and also learn how to implement them at your own institution.

The survey participants represent a wide variety of asset classes and different stages of internal-ratings development, so you’ll be able to benchmark your institution’s progress against that of similar institutions–regardless of your institution’s size or its stage in developing an internal-ratings system.

The Global Internal Ratings Validation Survey was conducted by PricewaterhouseCoopers and sponsored by RMA, the International Swaps and Derivatives Association, and the British Bankers’ Association. As the industry prepares to implement Basel II, this survey will help support the strategic direction of the industry.

Will Your Institution Be Ready to Implement Basel II?

The Global Internal Ratings Validation Survey provides a much-needed benchmark to global industry practice that is simply not available anywhere else. Representing the current thinking on Basel II’s requirements for internal risk ratings, this study is a “must have” for every institution preparing to implement the new Accord.

Price: $295

Product # 630306

Key Areas of the Survey

* Banks’ internal ratings structures.

* Governance of internal ratings validation.

* Validation of statistically derived models, hybrid models, expert judgment models, and external vendor models.

* Judgmental overlay.

* Monitoring and control processes.

* Stress testing.

* Future plans relating to validation techniques.

The Global Internal Ratings Validation Survey focuses on the following asset classes: corporate, middle market, retail, banks, sovereign, and specialized lending. A separate section covers group-wide policy and processes for ratings validation. The study also highlights the key challenges of validation and offers possible solutions.

Key Findings:

* Banks employ a wide range of techniques to validate internal ratings. The techniques used to assess corporate and retail ratings are substantially different.

* Ratings validation is not an exact science. Absolute performance measures are considered counterproductive by some institutions.

* Expert judgment is critical. Data scarcity makes it almost impossible to develop statistically based internal-ratings models in some asset classes.

* Data issues center around quantity, not quality. Default data, in particular, is insufficient to produce robust statistical estimates for some asset classes.

* Definite regional differences exist in the structure of ratings systems and validation techniques.

* Stress-testing standards need to be defined and the issues surrounding their development need to be debated by the industry. The level of additional stress testing that will be required under Basel II is uncertain.

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