Status: Draft -- Not PublishedWill be live at 03/08/2016 00:00
IIF Response to EBA's Consultation on the Definition of Default
On January 21, the IIF submitted a response to the EBA's consultation on how the Definition of Default is treated within banks' credit modeling.
Building on our extensive research into banks' modeling practices as part of our IIF RWA Task Force, the IIF has discerned the areas of variance in banks' modeling that reflect actual underlying differences, and those that relate more to the assumptions and parameters used. Concurrent to the IIF's efforts (which generated a series of 78 recommendations for items that could be harmonized in banks' modeling), the EBA has undertaken a similar endeavor, initially focusing on the Definition of Default.
With the IIF and EBA agendas being broadly aligned, the IIF is pleased to respond to the EBA's consultation, and to reiterate our support for the harmonization of modeling parameters and assumptions where appropriate.