59. Institutions should ensure that the decrease of reliability of information over time, for …

Institutions should ensure that the decrease of reliability of information over time, for instance of information on obligor characteristics obtained at the time of the loan origination, is appropriately reflected in the PD estimation. Institutions should also ensure that the model estimates the proper level of risk with respect to all relevant, currently available and most up-to-date information and that an adequate MoC is applied where a higher degree of uncertainty exists due to the lack of up-to-date information. In particular the model or the assignment process should provide for an adequate and conservative adjustment in both of the following situations:

• (a) in accordance with Article 24(1)(g) of the RTS on IRB assessment methodology, in case of financial statements older than 24 months where information stemming from these financial statements is a relevant risk driver;
• (b) in the case of credit bureau information that is older than 24 months, if still relevant at that point in time, where credit bureau information is a relevant risk driver.

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.