Guidelines on PD estimation, LGD estimation and treatment of defaulted assets

  • Status: Final and translated into the EU official languages

These draft Guidelines are part of the EBA’s broader work on the review of the IRB approach  aimed at reducing the unjustified variability in the outcomes of internal models, while preserving the risk sensitivity of capital requirements.

 

Summary of document history

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Final Report on Guidelines on PD estimation, LGD estimation and treatment of defaulted assets

  • Status: In force
  • Application date:
  • Compliance deadline:
Documents
Guidelines on PD and LGD estimation (EBA-GL-2017-16).pdf

(1.49 MB - PDF) Last update 20 November 2017

EBA GL 2017 16-CT GLs on PD and LGD estimation.pdf

(192.27 KB - PDF) Last update 23 February 2022

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