85. Where the historical observation period referred to in paragraph 82 is not representative of …

Where the historical observation period referred to in paragraph 82 is not representative of the likely range of variability of default rates as referred to in Article 49(4) of the RTS on IRB assessment methodology, institutions should apply the following:

• (a) where no or insufficient bad years are included in the historical observation period the average of observed one year default rates should be adjusted in order to estimate a long-run average default rate;
• (b) where bad years are over-represented in the historical observation period, the average of observed one-year default rates may be adjusted to estimate a long-run average default rate where there is a significant correlation between economic indicators referred to in paragraph 83(b) and the available one-year default rates.

Institutions should ensure that, as a result of the adjustments referred to in points (a) and (b), the adjusted long-run average default rate reflects the likely range of variability of default rates.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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