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Final Report - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16)1. Executive summary2. Background and rationale3. Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures1 Compliance and reporting obligations2 Subject matter, scope and definitions2.1 Subject matter2.2 Scope of application2.3 Addressees2.4 Definitions3 Implementation3.1 Date of application3.2 First application of the Guidelines4 General estimation requirements4.1 Principles for specifying the range of application of the rating systems4.2 Data requirements4.3 Human judgement in estimation of risk parameters4.4 Treatment of deficiencies and margin of conservatism5 PD estimation5.1 General requirements specific to PD estimation5.2 Model development in PD estimation5.3 PD calibration6 LGD estimation6.1 General requirements specific to LGD estimation6.2 Model development in LGD estimation6.3 LGD calibration7 Estimation of risk parameters for defaulted exposures7.1 General requirements specific to ELBE and LGD in-default estimation7.2 Model development in the estimation of ELBE and LGD in-default7.3 Calibration of ELBE and LGD in-default8 Application of risk parameters8.1 Conservatism in the application of risk parameters8.2 Human judgement in the application of risk parameters8.3 Use of internal ratings and default and loss estimates8.4 Calculation of IRB shortfall or excess9 Review of estimatesAccompanying documents
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Version date: 20 November 2017 - onwards

2.3 Addressees

7. These guidelines are addressed to competent authorities as defined in point (i) of Article 4(2) of Regulation (EU) No 1093/2010 and to financial institutions as defined in Article 4(1) of Regulation (EU) No 1093/2010.

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