Margin of Conservatism Framework for IRB PD, LGD and CCF
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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. Follow...
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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. Follow...
Read more
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