+4 General estimation requirements
---+4.1 Principles for specifying the range of application of the rating systems
------+12. A rating system in the sense of point (1) of Article 142(1) of Regulation (EU) No 575/2013 …
------+13. Exposures covered by the same rating system should be treated similarly by the institution in …
------+14. For the purpose of quantification of various risk parameters within a rating system …
---+4.2 Data requirements
------+15. In order to comply with the requirement of Article 76 of the RTS on IRB assessment methodology …
------+16. In order for the data used in the model development and in the application of risk parameters …
------+17. In order to comply with the requirement of the representativeness of data used in the PD and …
------+18. Institutions should use the same standards and methods for the assessment of representativeness …
------+19. Where external or pooled data are used institutions should obtain sufficient information from …
------+20. Institutions should analyse the representativeness of data in the case of statistical models …
------+21. For the purposes of ensuring that the data used in developing the model for assigning obligors …
------+22. For the purpose of paragraph 21(a) institutions should analyse the segmentation of exposures …
------+23. For the purpose of paragraph 21(b) institutions should ensure that the definition of default …
------+24. For the purpose of paragraph 21(c) institutions should analyse the distribution and range of …
------+25. Institutions should analyse the representativeness of the data in terms of the structure of the …
------+26. For the purpose of paragraph 21(d) institutions should analyse whether, over the relevant …
------+27. Within the PD model the representativeness of data used in developing the model for risk …
------+28. In order for institutions to ensure that the data used in risk quantification is representative …
------+29. For the purpose of paragraph 28(a) institutions should perform an analysis as specified in …
------+30. For the purpose of paragraph 28(b) and in order to ensure that the definition of default …
------+31. For the purpose of paragraph 28(c) institutions should perform an appropriate analysis to …
------+32. For the purpose of paragraph 28(d) institutions should perform the analysis of the market and …
------+33. For the purpose of paragraph 28(e) institutions should analyse whether there were significant …
------+34. Where the representativeness of data assessed in accordance with paragraphs 28 to 33 is …
---+4.3 Human judgement in estimation of risk parameters
------+35. In order for institutions to complement their statistical models with human judgement, as …
---+4.4 Treatment of deficiencies and margin of conservatism
------+36. Institutions should identify all deficiencies related to the estimation of risk parameters that …
------+37. For the purposes of identifying and classifying all deficiencies referred to in paragraph 36 …
------+38. In order to overcome biases in risk parameter estimates stemming from the identified …
------+39. Institutions should document the methods used to apply appropriate adjustments to rectify the …
------+40. Institutions should regularly monitor the adequacy of appropriate adjustments. The adoption of …
------+41. In relation to the requirement that institutions should add a margin of conservatism (‘MoC’) …
------+42. The final MoC on a risk parameter estimate should reflect the uncertainty of the estimation in …
------+43. In order to quantify MoC institutions should do all of the following: (a) quantify MoC for the …
------+44. For the purpose of paragraph 43(a) and for each of the categories A and B, institutions may …
------+45. Institutions should quantify the final MoC as the sum of: (a) the MoC under category A as …
------+46. Institutions should add the final MoC to the best estimate of the risk parameter.
------+47. Institutions should ensure that the impact of the final MoC does not result in lowering the …
------+48. Institutions should consider the overall impact of the identified deficiencies and the …
------+49. For each rating system, the MoC applied should be documented in the relevant model …
------+50. Institutions should regularly monitor the levels of the MoC. The adoption of a MoC by …
------+51. When reviewing the levels of the MoC institutions should ensure all of the following: (a) that …
------+52. Institutions should ensure that necessary changes in the MoC are implemented in a timely manner.

4 General estimation requirements

4 General estimation requirements

1. Overview

,
4.1 Principles for specifying the range of application of the rating systems

4.1 Principles for specifying the range of application of the rating systems
4.2 Data requirements

4.2.1 Quality of data
4.3 Human judgement in estimation of risk parameters

4.3 Human judgement in estimation of risk parameters
4.4 Treatment of deficiencies and margin of conservatism

4.4.1 Identification of deficiencies

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
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