Response to consultation paper on Regulatory Technical Standards (RTS) on default probabilities (PDs) and losses given default (LGDs) under the internal default risk model

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Q1. What would you consider to be the main challenges and most time consuming steps involved in using the IRB approach to be able to assign a PD and a LGD to a trading book issuer and the corresponding financial instrument, where such issuer is covered by the existing IRB permission, but no PD or LGD is immediately available under the IRB approach (i.e. they need to be assigned based on the existing IRB approach)? Based on this assessment, please indicate how much time you expect is needed for an IRB approach to assign a PD and a LGD to a specific trading book issuer.

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Name of the organization

Intesa Sanpaolo SpA