92. For the purpose of determining the PD estimates referred to in paragraph 91, the calibration …

For the purpose of determining the PD estimates referred to in paragraph 91, the calibration should consider either:

• (a) the long-run average default rate at the level of grade or pool, in which case institutions should provide additional calibration tests at the level of the relevant calibration segment; or
• (b) the long-run average default rate at the level of the calibration segment, in which case institutions should provide additional calibration tests at the level of the relevant grades or pools or, where they use direct PD estimates in accordance with Article 169(3) of Regulation (EU) No 575/2013, at a level that is appropriate for the application of the probability model.

1. Overview

1.1 References

• Article 169 3.

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/