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Margin of Conservatism Framework for IRB PD, LGD and CCF

Technischer Bericht 2018 27 Seiten

BWL - Bank, Börse, Versicherung

Zusammenfassung

In this paper, we follow the EBA documents regarding the guidelines that apply from 1January 2021 and propose a framework to quantify, document and monitor the impact of uncertainties relevant to the IRB PD, LGD and CCF estimation. Following the categorization of deficiency types, we derived a general form methodology of appropriate adjustment, best estimate and final MoC, that is intuitive, flexible and transparent to the institution.

The EBA Guidelines on PD and LGD estimation is due to apply from 1 January 2021, in which the banks are expected to have a framework in place as part of the risk rating and reporting process to adjust and correct the uncertainties identified from deficiencies in data, system and methodology. The ECB Guide on the TRIM states, that the requirement of Margin of Conservatism (MoC) also applies for the CCF estimation.

Details

Seiten
27
Jahr
2018
ISBN (eBook)
9783668995413
ISBN (Buch)
9783668995420
Sprache
Englisch
Katalognummer
v491426
Note
A
Schlagworte
margin conservatism framework

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Titel: Margin of Conservatism Framework for IRB PD, LGD and CCF