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Response to consultation on Guidelines PD estimation, LGD estimation and treatment of defaulted assets
Go backQuestion 1: Do you agree with the proposed requirement with regard to the application of appropriate adjustments and margin of conservatism? Do you have any operational concern with respect to the proposed categorization?
Refer to PDFQuestion 2: Do you see any operational limitations with respect to the monitoring requirement proposed in paragraph 53?
Refer to PDFQuestion 3: Do you agree with the proposed policy for calculating observed average default rates? How do you treat short term contracts in this regard?
Refer to PDFQuestion 4: Are the requirements on determining the relevant historical observation periods sufficiently clear? Which adjustments (downward or upward), and due to which reasons, are currently applied to the average of observed default rates in order to estimate the long-run average default rate? If possible, please order those adjustments by materiality in terms of RWA.
Refer to PDFQuestion 5: How do you take economic conditions into account in the design of your rating systems, in particular in terms of: d. definition of risk drivers, e. definition of the number of grades f. definition of the long-run average of default rates?
Refer to PDFQuestion 6: Do you have processes in place to monitor the rating philosophy over time? If yes, please describe them.
Refer to PDFQuestion 7: Do you have different rating philosophy approaches to different types of exposures? If yes, please describe them.
Refer to PDFQuestion 8: Would you expect that benchmarks for number of pools and grades and maximum PD levels (e.g. for exposures that are not sensitive to the economic cycle) could reduce unjustified variability?
Refer to PDFQuestion 9: Do you agree with the proposed principles for the assessment of the representativeness of data?
Refer to PDFName of organisation
Institute of International Finance
