+7 Estimation of risk parameters for defaulted exposures
---+7.1 General requirements specific to EL BE and LGD in-default estimation
------+165. Institutions that have obtained permission to use own estimates of LGD in accordance with …
------+166. Institutions should estimate EL BE and LGD in-default for each of the facility grades of the …
------+167. For the purposes of EL BE and LGD in-default estimation, and unless otherwise specified in …
------+168. Institutions should take into consideration all relevant post-default information in their EL …
------+169. Institutions should assess and duly justify situations where the estimates of LGD in-default …
------+170. Institutions should perform back-testing and benchmarking of their EL BE and LGD in-default …
------+171. For the purposes of EL BE and LGD in-default estimation, institutions should set the reference …
------+172. Each of the reference dates referred to in paragraph 171 could be any of the following: (a) a …
------+173. For the purposes of EL BE and LGD in-default estimation the same defaulted exposures in the …
------+174. Institutions should monitor on a regular basis potential changes in the recovery patterns and …
------+175. For the purposes of EL BE and LGD in-default estimation, institutions should use the same RDS …
---+7.2 Model development in the estimation of EL BE and LGD in-default
------+176. For the purposes of taking into account the information on the time in-default and recoveries …
------+177. For the purpose of EL BE and LGD in-default estimation, institutions should analyse the …
---+7.3 Calibration of EL BE and LGD in-default
------+178. For the purposes of EL BE and LGD in-default estimation, institutions should calculate the …
------+179. Where, after the moment of default, institutions write-off part of the exposure the …
------+180. For the purposes of EL BE and LGD in-default estimation, institutions should calculate the …
------+181. In accordance with section 6.3.2.3 institutions should not estimate any future recoveries for …
------+7.3.2.1 Consideration of MoC in EL BE estimation
---------+182. For the purpose of Article 181(1)(h) of Regulation (EU) No 575/2013 the EL BE should not …
------+7.3.2.2 Current economic circumstances
---------+183. For the purposes of considering current economic circumstances in their EL BE estimates, as …
---------+184. The EL BE should be estimated on the basis of the long-run average LGD, referred to in …
---------+185. Where none of the conditions listed in paragraph 184 is met, institutions should adjust the …
------+7.3.2.3 Relation of EL BE to specific credit risk adjustments
---------+186. Where the model used for credit risk adjustments satisfies or can be adjusted to satisfy the …
---------+187. Where specific credit risk adjustments are assessed individually for a single exposure or a …
---------+188. For the purposes of justifying situations where the specific credit risk adjustments exceed …
---------+189. For the purpose of considering the possible adverse change in economic conditions during the …
---------+190. For the purpose of Article 181(1)(h) of Regulation (EU) No 575/2013 the LGD in-default should …
---------+191. For the purpose of ensuring that the LGD in-default is higher than the EL BE , or is in …
---------+192. To the extent that the reasons for overriding the outputs of EL BE estimation are relevant …
---------+193. Irrespective of which of the two approaches referred to in points (a) and (b) of Article …

7 Estimation of risk parameters for defaulted exposures

7 Estimation of risk parameters for defaulted exposures

1. Overview

,
7.1 General requirements specific to EL BE and LGD in-default estimation

7.1.1 Estimation methodologies for EL BE and LGD in-default
7.2 Model development in the estimation of EL BE and LGD in-default

7.2 Model development in the estimation of EL BE and LGD in-default
7.3 Calibration of EL BE and LGD in-default

7.3.1 Calculation of realised LGD and long-run average LGD for defaulted exposures

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

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