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Instructions for the EBA qualitative survey on IRB models (Dec 2016).pdf
EBA December 2016 instructions for banks using IRB models to complete a qualitative survey assessing current modeling practices for PD and LGD under upcoming guidelines and regulatory technical standards (RTS) on credit risk.
EBA launches qualitative survey on internal models
The European Banking Authority (EBA) launched today a qualitative survey on internal ratings-based (IRB) models to analyse the impact of the EBA draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD) and the loss given default (LGD), and on the treatment of defaulted assets, which are currently under consultation.