+56. In this method, for each institution ‘I’ and for each risk indicator ‘ j ’ , the DGS should …

56. In this method, for each institution ‘I’ and for each risk indicator ‘ j ’ , the DGS should …

In this method, for each institution ‘I’ and for each risk indicator ‘ j ’ , the DGS should calculate an IRS based on the value ‘ A ’ of the risk indicator. The DGS should define an upper boundary ‘ 𝑎 𝑗 ’ and a lower boundary ‘ 𝑏 𝑗 ’ for each indicator. If the indicator’s value is between the defined boundaries, the DGS should assign the value of the IRS between 0 and 100 according to the following two formulas:

  • a. When a higher indicator value indicates a higher risk and the indicator is above the upper boundary ‘ 𝑎 𝑗 ’ , the DGS should fix the value of the IRS at 100. Similarly, when the indicator’s value is below the lower boundary ‘ 𝑏 𝑗 ’ , the DGS should fix the value of the IRS at 0. The corresponding formula is:
𝐼𝑅𝑆 𝑖𝑗 ={100 0 𝐴 𝑎𝑖𝑓 𝐴 𝑖𝑗 > 𝑎 𝑗 𝑖𝑓 𝐴 𝑖𝑗 < 𝑏 𝑗 𝑖𝑗 −𝑏 𝑗 𝑗 −𝑏 𝑗 ∗ 100, 𝑖𝑓𝑏 𝑗 ≤ 𝐴 𝑖𝑗 ≤ 𝑎 𝑗

where j = indicator ‘j’, ranging from 1 to ‘m’ .

  • b. Analogously, if a lower indicator indicates a higher risk and the indicator is below the lower boundary ‘ 𝑏 𝑗 ’ , the DGS should fix the value of the IRS at 100. Correspondingly, when the indicator value is above the upper boundary ‘ 𝑎 𝑗 ’ , the DGS should fix the value of the IRS at 0. The corresponding formula is:
𝐼𝑅𝑆 𝑖𝑗 ={0 𝑖𝑓 𝐴 𝑖𝑗 > 𝑎 𝑗 100 𝑖𝑓 𝐴 𝑖𝑗 < 𝑏 𝑗 𝑎 𝑗 −𝐴 𝑖𝑗 𝑎 𝑗 −𝑏 𝑗 ∗ 100, 𝑖𝑓𝑏 𝑗 ≤ 𝐴 𝑖𝑗 ≤ 𝑎 𝑗

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

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.