162. Where institutions observe extremely high values of realised LGDs much above 100%, especially …

Where institutions observe extremely high values of realised LGDs much above 100%, especially for exposures with small outstanding amounts at the moment of default, they should identify relevant risk drivers to differentiate these observations and adequately reflect these specific characteristics in the assignment to grades or pool. Where institutions use a continuous rating scale in the LGD estimation, they may create a separate calibration segment for such exposures.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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