Following the publication of Policy Statement 11/20 ‘Credit risk: Probability of Default and Loss Given Default estimation’, the PRA hosted a virtual meeting for firms that are using an internal ratings based model to calculate capital requirements for residential mortgage exposures. The PRA presented on the most relevant cross-firm modelling issues, and further discussed their expectations for developing Hybrid Probability of Default and Loss Given Default models. The presentation slides used at the event are available below.
Published on
14 October 2020
Presentation slides