Margin of Conservatism Framework for IRB PD, LGD and CCF


Technical Report, 2018
27 Pages, Grade: A

Abstract or Introduction

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

Title
Margin of Conservatism Framework for IRB PD, LGD and CCF
Grade
A
Author
Year
2018
Pages
27
Catalog Number
V491426
ISBN (eBook)
9783668995413
Language
English
Tags
margin, conservatism, framework
Quote paper
Yang Liu (Author), 2018, Margin of Conservatism Framework for IRB PD, LGD and CCF, Munich, GRIN Verlag, https://www.grin.com/document/491426

Comments

  • No comments yet.
Read the ebook
Title: Margin of Conservatism Framework for IRB PD, LGD and CCF


Upload papers

Your term paper / thesis:

- Publication as eBook and book
- High royalties for the sales
- Completely free - with ISBN
- It only takes five minutes
- Every paper finds readers

Publish now - it's free