5. Positions in defaulted debt held in the trading book should, where material, be included in the …

Positions in defaulted debt held in the trading book should, where material, be included in the calculation of the IRC. In this case, they may be excluded from the migration element of the IRC if, given the specific model framework of the institution, defaulted positions bear no migration risk (for example if default is modelled as an absorbing state). Where these positions are excluded for materiality reasons, an institution must be able to demonstrate that they are not material. In all cases, any material risk of price changes of defaulted debt, as driven by uncertain recovery marks, should be capitalised.

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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