1. Transition matrices for modelling the rating migration process should be based on historical …

Transition matrices for modelling the rating migration process should be based on historical migration data using either external sources (i.e. rating agencies) or internal sources. Matrices from external sources should be preferred in cases where internal historical data is sparse. Institutions should ensure that the amount of historical data is sufficient to derive robust, accurate and statistically consistent estimates. Institutions should validate the robustness of transition matrices particularly in relation to higher rating categories, where a few severe downgrades or defaults can affect the migration frequency significantly. In accordance with the requirement for a „standard of soundness comparable to IRB‟ which the CRD establishes, a minimum historical observation period of 5 years is required.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.