1. Results of BBA/ISDA/RMA IRB Validation Study BBA/ISDA/RMA Advanced IRB Forum Monika Mars London - June 23, 2003
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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
7. Most banks use “Master Scales” to compare ratings information across portfolios
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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
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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
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