EBA consultation paper on downturn LGD estimation
A step closer to a harmonize IRB framework
This GL is part of the EBA efforts to harmonize IRB practices. It provides draft Guidelines specifying how LGD estimates appropriate for an economic downturn should be quantified. It supplements the Guidelines on PD, LGD estimation and treatment of defaulted assets (EBA/GL/2017/16) and provides specific guidance on how to incorporate the impact of an economic downturn into LGD estimates.
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