PD & LGD estimation and the treatment of defaulted exposures

Topic area:
Status: 10.07.2018 |
Archived
Key words:
IRBA, Supplement
Initiative
Official name
Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposure
Type
Guidelines
Level 3 / Other
Initiator
EBA
Submitted
14.11.2016
Doc. code
EBA/GL/2017/16
Summary
Status
Status

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Current version
Final version
23.04.2018
Next step
Entry into force and application
Entry into force

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Application date

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Scope
Relevant for

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Associated initiatives
Level 1
CRR (binding, Main version, EU)
CRD IV (binding, Main version, EU)
Level 2
RTS on downturn LGD (binding, Supplement, EU)
RTS on materiality of model changes and extensions (binding, Supplement, EU)
ITS on benchmarking of internal models 2022 (binding, Amendment, EU)
ITS on Benchmarking of internal models 2024 (binding, Amendment, EU)
Level 3 / Other
Guidelines on Downturn LGD (binding, Supplement, EU)
Default definition, PD & LGD estimation and treatment of defaulted exposure (binding, DE)

Source: EBA, EBA/GL/2017/16, 2018