February 2, 2006
OCC Workshop Addresses Challenges of Credit Rating and Scoring Models
WASHINGTON – The Office of the Comptroller of the Currency is holding a workshop today and tomorrow to address the challenge of validating the rating and scoring models banks rely upon to measure and monitor portfolio credit risk. These models are playing an increasingly important role in risk management of sophisticated financial products, and ensuring the effectiveness of model validation is a key supervisory issue.
"The mathematical models banks use to manage risk are a major area of activity for supervisory agencies, and this workshop will help ensure that the OCC’s supervisory expectations are understood by the industry and practitioners," said Comptroller of the Currency John C. Dugan.
"This workshop is a prime example of the type of initiative the OCC undertakes to make sure our agency stays on top of cutting-edge issues," Mr. Dugan added. "The Ph.D. economists in our Risk Analysis Division work closely with our examiners to ensure that national banks are meeting our model validation expectations, and their expertise will make this workshop a valuable educational experience for everyone."
Mr. Dugan will address the workshop on Friday.
The workshop will be attended by about 400 modelers, regulators, economists and others with expertise in this area. Although it is completely sold out, the program and materials for the event, OCC Validation of Credit Rating and Scoring Models, is available on the OCC’s internet site.