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portada Margin of Conservatism Framework for irb pd, lgd and ccf
Type
Physical Book
Publisher
Author
Language
English
Pages
34
Format
Paperback
ISBN13
9783668995420

Margin of Conservatism Framework for irb pd, lgd and ccf

Yang Liu (Author) · Grin Verlag · Paperback

Margin of Conservatism Framework for irb pd, lgd and ccf - Yang Liu

New Book Imported to South Africa
Delivery: 21 Jul - 13 Aug Shipping: 12 to 13 business days.
R 398
R 398

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Synopsis "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 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.

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