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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Margin of Conservatism Framework for IRB PD, LGD and CCF: Extended Version with Numerical Example

Margin of Conservatism Framework for IRB PD, LGD and CCF: Extended Version with Numerical Example

Liu, Yang

Paperback

Business General

ISBN10: 3346244903
ISBN13: 9783346244901
Publisher: Grin Verlag
Published: Sep 22 2020
Pages: 46
Weight: 0.16
Height: 0.11 Width: 5.83 Depth: 8.27
Language: English
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.

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