+π΄π
π π = π½ β ( πΌ π½ ) ( π΄π
π π )
---+68. In this method, the ARW associated to the ARS is growing exponentially, with an upper boundary β¦
---+69. Where the distribution of the ARS of member institutions of a DGS covers only a partial range β¦
---+70. The DGS should set the thresholds β Ξ³ β and β πΏ β so that no member institution βs ARS exceeds β¦
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π΄π
π π = π½ β ( πΌ π½ ) ( π΄π
π π )
Where: the ARS of an institution βIβ can take any value between 0 and 100; π½ = π΄π
π(0) , i.e. the desired ARW value corresponding to an ARS value of 0 (lower limit); and πΌ = π΄π
π ( 100 ) , i.e. the desired ARW value corresponding to an ARS of 100 (upper limit).
1. Overview
| Summary |
Regulation |
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68. In this method, the ARW associated to the ARS is growing exponentially, with an upper boundary β¦
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In this method, the ARW associated to the ARS is growing exponentially, with an upper boundary β πΌ β and a lower boundary β π½ β . For a given institution where the ARS is 100 (the riskiest score), the corresponding risk weight will be β Ξ± β , which is the highest risk weight. Similarly, if the ARS is 0, the corresponding risk weight will be β π½ β , which is the lowest risk weight.
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69. Where the distribution of the ARS of member institutions of a DGS covers only a partial range β¦
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Where the distribution of the ARS of member institutions of a DGS covers only a partial range of the possible ARS, instead of the full range from 0 to 100, the DGS may reflect that situation by deciding to apply a threshold β Ξ³ β of the ARS higher than 0 and a threshold β πΏ β lower than 100. In this case, an ARS smaller or equal to β Ξ³ β should be assigned an ARW of β π½ β and an ARS higher or equal to β πΏ β should be assigned an ARW of β πΌ β . The corresponding enhanced formula is: π΄π
π π = π½ β ( πΌ π½ ) ( π΄π
π (πΏβπΎ) π βπΎ ) Where: 0 < πΎ < πΏ < 100 ; Ξ³ is the lower threshold of the ARS translating to the lowest ARW Ξ² ; and πΏ is the actual upper threshold of the ARS translating to the highest ARW Ξ± .
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70. The DGS should set the thresholds β Ξ³ β and β πΏ β so that no member institution βs ARS exceeds β¦
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The DGS should set the thresholds β Ξ³ β and β πΏ β so that no member institution βs ARS exceeds β πΏ β or falls below β πΎ β at the time of the calibration.
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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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