Margin of Conservatism Framework for IRB PD, LGD and CCF
Technical Report from the year 2018 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, , language: English, abstract: 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 du…
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Produktdetails
- ISBN: 978-3-668-99542-0
- EAN: 9783668995420
- Produktnummer: 32676022
- Verlag: Grin Verlag
- Sprache: Englisch
- Erscheinungsjahr: 2019
- Seitenangabe: 32 S.
- Masse: H21.0 cm x B14.8 cm x D0.2 cm 62 g
- Abbildungen: Paperback
- Gewicht: 62
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