2.4 Definitions
8. Unless otherwise specified, terms used and defined in Regulation (EU) No 575/2013 and Directive 2013/36/EU have the same meaning in these guidelines. In addition, for the purposes of these guidelines, the following definitions apply:
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Risk parameters |
One or all of the following: PD, LGD, ELBE and LGD in-default |
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Reference data set (RDS) |
All the datasets used for the purpose of estimation of risk parameters, including the datasets relevant for model development as well as the datasets used for calibration of a risk parameter. |
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PD model |
All data and methods used as part of a rating system within the meaning of Article 142(1) point (1) of Regulation (EU) No 575/2013, which relate to the differentiation and quantification of own estimates of PD and which are used to assess the default risk for each obligor or exposure covered by that model. |
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Ranking method of a PD model |
The method, forming part of a PD model, used to rank the obligors or exposures with respect to the risk of a default. |
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Scoring method of a PD model |
A ranking method of a PD model which assigns ordinal values (’scores’) to rank obligors or exposures. |
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LGD model |