Article 45
Assessment of the internal default risk model used to compute the additional own funds requirement for default risk
When assessing the institution’s compliance with the requirements applicable to the internal default risk model as referred to in Articles 325bn, 325bo and 325bp, competent authorities shall assess whether the institution complies with:
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(a) |
the general requirements for the internal default risk model in accordance with Section 2; |
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(b) |
the requirements for estimates for default probabilities and losses given defaults in accordance with Section 3; |
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(c) |
the requirements for default correlation between issuers, recognition of hedges and other particular requirements in accordance with Section 4. |
