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portada Margin of Conservatism Framework for IRB PD, LGD and CCF: Extended Version with Numerical Example
Type
Physical Book
Author
Publisher
Language
English
Pages
46
Format
Paperback
Dimensions
21.0 x 14.8 x 0.3 cm
Weight
0.07 kg.
ISBN13
9783346244901
Categories

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

Yang Liu (Author) · Grin Verlag · Paperback

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

New Book Imported to South Africa
Delivery: 22 Jul - 14 Aug Shipping: 13 to 14 business days.
R 398
R 398

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

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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