2. Separate transition matrices may be applied for specific groups of issuers and specific …

Separate transition matrices may be applied for specific groups of issuers and specific geographical areas. Depending on (i) the composition of the institutions‟ portfolio, (ii) the availability of accurate transition matrices and (iii) possible differences in migration characteristics across products, issuers and/or geographical areas, a balanced decision should be made on the set of transition matrices used. Such a decision should consider (i) the choice of the (internal or external) source in combination with an analysis of the overlap and/or possible mismatch between the institutions‟ portfolio and the assets underlying the transition matrix; (ii) the motivation for any weighting scheme (also for the use of equal weights); and (iii) the size of the historical window. Institutions should develop one (or more when relevant data is available) transition matrix that is specific to sovereign obligors.

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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