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Margin of Conservatism Framework for IRB PD, LGD and CCF

Extended Version with Numerical Example

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

Technical Report , 2019 , 39 Pages , Grade: A

Autor:in: Yang Liu (Author)

Business economics - Banking, Stock Exchanges, Insurance, Accounting
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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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Title
Margin of Conservatism Framework for IRB PD, LGD and CCF
Subtitle
Extended Version with Numerical Example
Grade
A
Author
Yang Liu (Author)
Publication Year
2019
Pages
39
Catalog Number
V923170
ISBN (eBook)
9783346244895
ISBN (Book)
9783346244901
Language
English
Tags
margin conservatism framework extended version numerical example
Product Safety
GRIN Publishing GmbH
Quote paper
Yang Liu (Author), 2019, Margin of Conservatism Framework for IRB PD, LGD and CCF, Munich, GRIN Verlag, https://www.grin.com/document/923170
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