+Article 17 3

Article 17 3

3.   For the purposes of paragraph 2, competent authorities shall verify whether the institution, when it is assessing the reasonableness of the default risk model assumptions, in particular regarding the capture of credit risk concentrations, uses all of the following:

(a)

losses arising from events, including credit events;

(b)

hypothetical rating downgrades;

(c)

market events on specific issuers’ types;

(d)

changes to copulas’ types and parameters, where modelled explicitly.

1. Przegląd

,

1.1 Odwołania

1.2 Zidentyfikowane wymagania

1.3 Powiązane normy

2. Zidentyfikowane wymagania

Wymagania

3. Powiązane normy

Normy