PDs and LGDs for default risk model under the internal approach for market risk (FRTB)
Initiative
Official name
Commission Delegated Regulation (EU) 2023/1578 of 20 April 2023 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the requirements for the internal methodology or external sources used under the internal default risk model for estimating default probabilities and losses given default
Type
Delegated Regulation
Level 2
Initiator
EBA
Submitted
22.07.2020
Doc. code
2023/1578
Summary
Status
Status
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Current version
Final version
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
Revision of the CRR (CRR2) - General Part
(binding, Amendment, EU)
CRR
(binding, Main version, EU)
Level 2
–
Level 3 / Other
–
Source: EBA, 2023/1578, 2023