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

Previous versions Current version Ongoing versions

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

  • Status: Closed
  • Deadline: 10 FEBRUARY 2017
Documents
BSG response to Consultation Paper (EBA-CP-2016-21) - 10 February 2017

(141.99 KB - PDF) Last update 13 February 2017

Consultation Paper on Guidelines on PD LGD estimation and treatment of defaulted assets (EBA-CP-2016-21)

(973.61 KB - PDF) Last update 14 November 2016

Responses

The form is now closed.

Public hearings

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

EBA Presentation

(1.82 MB - PDF) Last update 24 January 2017

IIF presentation

(330.4 KB - PDF) Last update 24 January 2017

EBF presentation

(588.42 KB - PDF) Last update 24 January 2017

AFME presentation

(596.46 KB - PDF) Last update 24 January 2017

Press contacts

Franca Rosa Congiu