- We will send in 10–14 business days.
/images/books/13296431/9783668995420.jpg)
- Author: Yang Liu
- Publisher: GRIN Verlag
- Year: 2019
- Pages: 34
- ISBN-10: 3668995427
- ISBN-13: 9783668995420
- Format: 14.8 x 21 x 0.2 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
Margin of Conservatism Framework for IRB PD, LGD and CCF (e-book) (used book) | bookbook.eu
Reviews
Description
Technical Report from the year 2018 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, language: English, abstract: In this paper, we follow the EBA documents regarding the guidelines that apply from 1January 2021 and propose a framework to quantify, document and monitor the impact of uncertainties relevant to the IRB PD, LGD and CCF estimation. Following the categorization of deficiency types, we derived a general form methodology of appropriate adjustment, best estimate and final MoC, that is intuitive, flexible and transparent to the institution. The EBA Guidelines on PD and LGD estimation is due to apply from 1 January 2021, in which the banks are expected to have a framework in place as part of the risk rating and reporting process to adjust and correct the uncertainties identified from deficiencies in data, system and methodology. The ECB Guide on the TRIM states, that the requirement of Margin of Conservatism (MoC) also applies for the CCF estimation.
EXTRA 10 % discount with code: EXTRA
The promotion ends in 22d.00:32:32
The discount code is valid when purchasing from 10 €. Discounts do not stack.
- Author: Yang Liu
- Publisher: GRIN Verlag
- Year: 2019
- Pages: 34
- ISBN-10: 3668995427
- ISBN-13: 9783668995420
- Format: 14.8 x 21 x 0.2 cm, minkšti viršeliai
- Language: English English
Technical Report from the year 2018 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, language: English, abstract: In this paper, we follow the EBA documents regarding the guidelines that apply from 1January 2021 and propose a framework to quantify, document and monitor the impact of uncertainties relevant to the IRB PD, LGD and CCF estimation. Following the categorization of deficiency types, we derived a general form methodology of appropriate adjustment, best estimate and final MoC, that is intuitive, flexible and transparent to the institution. The EBA Guidelines on PD and LGD estimation is due to apply from 1 January 2021, in which the banks are expected to have a framework in place as part of the risk rating and reporting process to adjust and correct the uncertainties identified from deficiencies in data, system and methodology. The ECB Guide on the TRIM states, that the requirement of Margin of Conservatism (MoC) also applies for the CCF estimation.
Reviews