London and New York, October 6th, 2000--
The British Bankers' Association (BBA), the European Banking Federation (EBF), the International Swaps and Derivatives Association (ISDA), and RMA--the Risk Management Association today announced an important initiative in risk management, their European Loss Given Default Study.
Allen Sanborn, RMA's President and CEO, said "This study is an extension of one which we have carried out for several years now in North America. The increasing emphasis on portfolio management and the appropriate use of capital allocation models make it imperative for the industry to develop this database. RMA is very pleased to again be working with the BBA, EBF and ISDA to bring our experience to this important initiative."
Richard Grove, Executive Director of ISDA, pointed out that "loss given default data is not only a key component of credit risk allocation processes. It is also a necessary input in credit derivatives pricing models, and ISDA hopes that this database will foster the development of a more efficient market for credit risk mitigation instruments."
A pilot group of eight major European banks have worked with RMA, the BBA, and ISDA to adapt RMA's North American data template to reflect European banking practice. With this accomplished, the study is now being opened to all financial institutions. As with the North American study, the study data will be available only to participating banks. Once the necessary agreements have been signed, banks will begin submitting data beginning with the fourth quarter of 2000. "Growth in the use of capital allocation models for credit risk in Europe has been hampered by the lack of this type of data," noted Tim Sweeney, Director General of the BBA. "This study will give the banks the statistical basis they need to populate their models, both for internal management and for regulatory purposes."
Nikolaus BÖmcke, Secretary General of the EBF, summarized stating that "the results of this study will provide essential information for all banks, small and large, that want to participate throughout Europe and will thus be of great benefit to the members of the EBF."
For more information, call Pam Martin, Director of Regulatory Relations and Communications, at 215-446-4092 or e-mail at pmartin@rmahq.org.