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Margin of Conservatism Framework for IRB PD, LGD and CCF: Extended Version with Numerical Example

-15% su kodu: ENG15
23,19 
Įprasta kaina: 27,28 
-15% su kodu: ENG15
Kupono kodas: ENG15
Akcija baigiasi: 2025-03-03
-15% su kodu: ENG15
23,19 
Įprasta kaina: 27,28 
-15% su kodu: ENG15
Kupono kodas: ENG15
Akcija baigiasi: 2025-03-03
-15% su kodu: ENG15
2025-02-28 27.2800 InStock
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Knygos aprašymas

Technical Report from the year 2019 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, , language: English, abstract: 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 in the meantime state that the requirement of Margin of Conservatism (MoC) also applies for the CCF estimation. In this paper, we develop and present a consistent framework to quantify the identified uncertainties for the purpose of IRB risk parameter estimation.

Informacija

Autorius: Yang Liu
Leidėjas: GRIN Verlag
Išleidimo metai: 2020
Knygos puslapių skaičius: 44
ISBN-10: 3346244903
ISBN-13: 9783346244901
Formatas: 210 x 148 x 4 mm. Knyga minkštu viršeliu
Kalba: Anglų

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