Unresolved Defaults

Document

Topics: 
LGD & EaD platform
Description: 
In 2021, the Unresolved LGD projection methodology was
monitored and backtested as of H2/2020 data, with one
year of additional data compared to the initial development
sample. The monitoring metrics are structured along
regulators’ dimensions such as EBA Regulatory Technical
Standards 2016/03 and EBA Guidelines 2017/16 as well
as SR Letter 11-7 “Supervisory guidance on model risk
management
Publication Year: 
2021
Groups audience: 
Workflow status: 
Final
Group content visibility: 
Public - accessible to all site users