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Margin of Conservatism Framework for IRB PD LGD and CCF Book PDF Summary

Technical Report from the year 2019 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, , language: English, abstract: 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.

Detail Book of Margin of Conservatism Framework for IRB PD LGD and CCF PDF

Margin of Conservatism Framework for IRB PD  LGD and CCF
  • Author : Yang Liu
  • Release : 14 September 2020
  • Publisher : GRIN Verlag
  • ISBN : 9783346244895
  • Genre : Business & Economics
  • Total Page : 39 pages
  • Language : English
  • PDF File Size : 13,6 Mb

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