+40. Where institutions apply the substitution of risk parameters approach, the other quantitative …
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40. Where institutions apply the substitution of risk parameters approach, the other quantitative …
Where institutions apply the substitution of risk parameters approach, the other quantitative validation tools required by Article 185(c) of Regulation (EU) No 575/2013 should include a comparison of the expected loss of comparable direct exposures to the guarantor with the observed loss rates of the underlying exposures or parts of exposures to defaulted obligors that were considered guaranteed before the moment of default.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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