Historical observation period

The specification of the historical observation period is based on the assumption that it should be as broad as possible, and should contain data from various periods with differing economic circumstances. These differing economic circumstances refer not only to the moment of default but also to the moment of realising recoveries from different sources. In this context, it was deemed inappropriate to allow elimination of any data that reflects an institution’s internal experience, as this would lead to a loss of valuable information. Hence, it was specified that all available internal data should be taken into account in the long-run average LGD. This internal experience may additionally be supplemented by external data where necessary.

1. Resumen

1.1 Referencias

1.2 Requisitos identificados

1.3 Estándares relacionados

2. Requisitos identificados

3. Estándares relacionados

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