Related provisions for IFPRU 4.6.16

1 - 5 of 5 items.
Results filter

Search Term(s)

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

IFPRU 4.6.25GRP
To ensure that a rating system provides a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk, the FCA expects a firm to develop country-specific mid-market PD models. Where a firm develops multi-country mid-market PD models, the FCA expects the firm to be able to demonstrate that the model rank orders risk and predicts default rates for each country where it is to be used for own funds requirements calculation.
IFPRU 4.6.26GRP
The FCA expects a firm to have challenging standards in place to meaningfully assess whether a model rank orders risk and accurately predict default rates. These standards should specify the number of defaults that are needed for a meaningful assessment to be done.
IFPRU 4.6.28GRP
In the FCA's view, a model is not likely to be compliant where the firm cannot demonstrate that it rank orders risk and predicts default rates for each country, regardless of any apparent conservatism in the model.
IFPRU 4.6.31GRP
The FCA expects a firm to estimate PD for a rating system in line with this section where the firm's internal experience of defaults for that rating system was 20 defaults or fewer, and reliable estimates of PD cannot be derived from external sources of default data, including the use of market price-related data. In PD estimation for all exposures covered by the rating system, the FCA expects the firm to:(1) use a statistical technique to derive the distribution of defaults implied
IFPRU 4.11.16GRP
The FCA expects that a firm will not be compliant with the validation requirements unlessit can demonstrate, in respect of discriminatory power, that:(1) appropriate minimum standards that the rating system is expected to reach are defined, together with reasoning behind the adoption of such standards and that the factors considered when determining the tests are clearly documented;(2) an objective rank-ordering metric, measured using an appropriate time horizon (eg, using ratings
IFPRU 4.11.17GRP
The FCA expects that a firm will not be compliant with the validation requirements unlessit can demonstrate in respect of the calibration that:(1) observed default rate versus PD is considered at grade level and across a range of economic environments (ie, as long as period as possible);(2) where the PD does not relate to a pure point-in-time estimate, either the PD or the observed default rate is transformed such that comparison between the two is meaningful. This transformation
IFPRU 4.15.1GRP
For purposes of repurchase transactions and securities lending or borrowing transactions, the FCA does not consider that there are any core market participants apart from those entities listed in article 227(3) of the EU CRR.