2. Competent authorities should consider whether the originator institution has sufficient …

Competent authorities should consider whether the originator institution has sufficient knowledge of the underlying assets in order to be able to conduct an appropriate credit risk transfer analysis and should also consider whether there is idiosyncratic risk in the portfolio which is not captured by the originator institution’s credit risk assessment or capital calculations. Idiosyncratic risk should be captured through more conservative assumptions than a standard “base case” scenario. This conservatism should seek to capture idiosyncratic risk which may correspond with a “stress case” scenario if applicable.

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.