Lade Inhalt...

Margin of Conservatism Framework for IRB PD, LGD and CCF

Extended Version with Numerical Example

Technischer Bericht 2019 39 Seiten

BWL - Bank, Börse, Versicherung

Zusammenfassung

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 in the meantime state that the requirement of Margin of Conservatism (MoC) also applies for the CCF estimation. In this paper, we develop and present a consistent framework to quantify the identified uncertainties for the purpose of IRB risk parameter estimation.

Details

Seiten
39
Jahr
2019
ISBN (eBook)
9783346244895
ISBN (Buch)
9783346244901
Sprache
Englisch
Katalognummer
v923170
Note
A
Schlagworte
margin conservatism framework extended version numerical example

Autor

Zurück

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