33. For the purpose of paragraph 28(e) institutions should analyse whether there were significant …

For the purpose of paragraph 28(e) institutions should analyse whether there were significant changes in the lending standards or recovery policies over the relevant historical observation period that may influence the level of risk or the distribution or ranges of the characteristics of relevant risk drivers in the portfolio covered by the considered model. Where institutions observe such changes they should analyse the potential bias in the estimates of risk parameters resulting from these changes in the following manner:

• (c) with regard to the PD estimation, in terms of the level of default rates and the likely range of variability of default rates;
• (d) with regard to the LGD estimation, in terms of loss rates, average duration of the recovery processes, frequencies of use of certain recovery scenarios and the loss severity distributions.

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.