Related provisions for IFPRU 4.6.7

1 - 1 of 1 items.

Search Term(s)

Filter by Topics

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 4.6.5GRP
Article 169(3) of the UK CRR1 allows the use of direct estimates of PDs, although such a measure could be assessed over a variety of different time horizons which the EU CRR does not specify. Accordingly, the FCA considers that it acceptable in principle to use methodologies of this type in lieu of estimation of long-run averages for the grade/pool/score of the underlying rating system, where the following conditions are met. Meeting these conditions requires a firm using the
IFPRU 4.6.12GRP
A firm that applied the segmentation approach properly could satisfy both Principle 1 and Principle 4 (IFPRU 4.6.5 G). The choice of the basis of segmentation and the calibration of the estimated long-run default rate for the segments would both be of critical importance.