| Directive 2013/36/EU have purposes of these guidelines, | the same meaning in these guidelines. In addition, for the the following definitions apply: |
| Risk parameters | One or all of the following: PD, LGD, EL BE and LGD in-default |
| Reference data set (RDS) | All the datasets used for the purpose of estimation of risk parameters, including the datasets relevant for model development as well as the datasets used for calibration of a risk parameter. All data and methods used as part of a rating system within the meaning of Article 142(1) point (1) of Regulation (EU) No 575/2013, which relate to the differentiation and quantification |
| PD model | of own estimates of PD and which are used to assess the default risk for each obligor or exposure covered by that model. |
| Ranking method of a PD model | The method, forming part of a PD model, used to rank the obligors or exposures with respect to the risk of a default. |
| Scoring method of a PD model | A ranking method of a PD model which assigns ordinal values (’scores’) to rank obligors or exposures . All data and methods used as part of a rating system within the meaning of Article 142(1) point (1) of Regulation (EU) No 575/2013, which relate to the differentiation and quantification |
| LGD model | of own estimates of LGD, LGD in-default and EL BE and which are used to assess the level of loss in the case of default for each facility covered by that model. Expected loss best estimate for defaulted exposures as referred |
| EL BE | to in Article 181(1)(h) of Regulation (EU) No 575/2013. Loss given default for defaulted exposures as referred to in |
| LGD in-default | Article 181(1)(h) of Regulation (EU) No 575/2013. The type of exposures in the meaning of point (2) of Article |
| Scope of application of a PD or LGD model | 142(1) of Regulation (EU) No 575/2013 covered by a PD model or an LGD model. The full modelling process related to the risk parameters |
| Estimation of risk parameters | including the selection and preparation of data, model development and calibration. The part of the process of the estimation of risk parameters that leads to an appropriate risk differentiation by specifying relevant risk drivers, building statistical or mechanical methods |
| Model development | to assign exposures to obligor or facility grades or pools, and estimating intermediate parameters of the model, where relevant. The data set on which the ranking or pooling method is applied |
| PD calibration sample | in order to perform the calibration. A uniquely identified subset of the scope of application of the |
| Calibration segment | PD or LGD model which is jointly calibrated. The part of the process of the estimation of risk parameters which leads to appropriate risk quantification by ensuring that when the PD ranking or pooling method is applied to a |
| PD calibration | calibration sample, the resulting PD estimates correspond to the long-run average default rate at the level relevant for the applied method. The part of the process of the estimation of risk parameters which leads to appropriate risk quantification by ensuring that |
| LGD calibration | the LGD estimates correspond to the long-run average LGD, or to the downturn LGD estimate where this is more conservative, at the level relevant for the applied method. The assignment of risk parameters estimated in accordance |
| Application of risk parameters | with the PD or LGD model to the current exposures, performed either automatically with the use of a relevant IT system or manually by qualified personnel of an institution. The actual portfolio of exposures within the scope of |
| Application portfolio | application of the PD or LGD model at the time of the estimation of a risk parameter. |