+Reference date = 10 months (red line)
---+Reference date t=20 months in default:
---+Reference date t=50 months in default:
---+Figure 5: Example for observations taken into account at the reference date = 20 months
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Reference date = 10 months (red line)
70 ) s 60 h t n ( t l 40 u a f e d 30 n i e 20 m i T 10 0 A B C D Incomplete workouts
1. Overview
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Regulation |
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Reference date t=20 months in default:
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In the estimation relevant for the reference date t=20 months in default observations A, B and C are clearly included. Although observation D is in default for longer than 20 months, it is not included in the sample because the observations of costs and recoveries at the next reference date (here t=30 months) are not yet available. However, if observation D had been closed 24 months after default, this observation would be included in the calculation of the long-run average LGD relevant for the reference date t=20 months in default.
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Reference date t=50 months in default:
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In this case only observation A is used. In all other observations the cash flows beyond the reference date t=50 months are not yet known, so these observations do not carry any additional information which could be used to estimate the expected loss relevant for the reference date t=50 days in default.
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Figure 5: Example for observations taken into account at the reference date = 20 months
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Figure 5: Example for observations taken into account at the reference date = 20 months
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1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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