4. In the case of a rating migration, the variation of market prices should be recalculated. Full …

In the case of a rating migration, the variation of market prices should be recalculated. Full revaluation should be required unless an institution can prove that its pricing approach sufficiently reflects even the large price changes that are to be expected from a change in rating. This may be done as a pre-calculation in the sense that a vector of prices for each rating state might be an input in an IRC calculation. The impact of a rating migration on market prices should be estimated using either currently observed market data (e.g. spreads); or an average of historical market data observed over a maximum period of one year or any other relevant period

17 subject to approval by competent authorities. Historical PDs should not be used for discounting purposes when performing a full revaluation upon a rating change as they do not sufficiently reflect current market prices.

1. Ħarsa ġenerali

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

3. Standards relatati

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