Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing

Author's Biography

Gaurav Chawla is team leader — models and methodologies — at Aguais and Associates (AAA), an associate company of Deloitte. He leads the application of AAA-built techniques at various clients’ sites. Gaurav has over 13 years of experience building risk models across large banks and academic institutions. In the past, Gaurav led the model development team at GE Capital that was responsible for developing CCAR and IFRS9 focused credit risk models. Before that, Gaurav worked at RBS on the development of methodologies, credit risk models (Basel II AIRB PD, LGD, EAD) and loss and stress testing models. He holds an eclectic mix of degrees in Engineering, Mathematics, Business and Law.

Lawrence R. Forest Jr is global head of research at Aguais and Associates (AAA), an associate company of Deloitte. He leads all of the firm’s credit risk analytics research, development and design. Lawrence has over 25 years of experience developing and designing advanced credit analytics solutions for large banking institutions. He has spent the last 12 years leading the econometric design and development of advanced Basel II PD, LGD and EAD credit models and Dual Ratings at Barclays Capital and RBS. Most recently he has been reviewing US banks’ credit models for PWC.

Scott D. Aguais is managing director of Aguais and Associates (AAA), an associate company of Deloitte. He leads the firm’s efforts in marketing, strategic partner development and project delivery. Scott has 25 years of experience developing and delivering advanced credit analytics solutions to large banking institutions. He spent 10 years delivering credit models and analytics through consulting at DRI/McGraw-Hill, AMS and KPMG. He then moved on to Algorithmics and has spent the last 12 years developing advanced credit models and supporting the successful Basel II Waivers at Barclays Capital and RBS.