+Article 52 (a)
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Article 52 (a)
in relation to the modelling of the default of individual as well as multiple issuers as required by Article 325bp(1) of Regulation (EU) No 575/2013:
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(i)
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identify the approach that the institution uses to model the default, and verify that the two types of systematic risk factors selected by the institution capture the most relevant systematic effects;
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(ii)
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verify whether the granularity of the two types of systematic risk factors is sufficient to capture the characteristics of the issuers in the portfolio subject to the own funds requirement for default risk;
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(iii)
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verify whether for each issuer, the institution uses a separate idiosyncratic risk factor in addition to the two types of systematic risk factors referred to in Article 325bp(1) of Regulation (EU) No 575/2013;
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(iv)
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verify whether the mapping of issuers to the appropriate systematic risk factors is sound;
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(v)
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verify whether the institution analyses the explanatory power of the factor model;
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(vi)
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when requesting the sample for the purpose of the assessment, consider the materiality of the issuers, and ensure that the sample encompasses issuers that have been mapped to different systematic risk factors;
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1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
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Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- Builddate: 17.06.2024 00:00:00 -Doknr: CELEX:32024R1085
- EULAW -
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