Calculation of long-run average LGD

It has been clarified that the long-run average should be calculated as an arithmetic average of realised LGDs on all observations from the specified historical observation period, and that it should be weighted by the number of defaults. The only exemption from this rule under the CRR is specified in Article 181(2) of the CRR, according to which institutions may apply higher weights to more recent data in the case of retail exposures. However, the use of this exemption requires appropriate justification and evidence that it leads to better LGD estimates.

1. Overzicht

1.1 Referenties

1.2 Geïdentificeerde eisen

1.3 Gerelateerde standaarden

2. Geïdentificeerde eisen

3. Gerelateerde standaarden

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