Article 2
Definitions
For the purposes of this Regulation, the following definitions shall apply:
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(a) |
‘model development’ means the part of the process of the estimation of risk parameters that leads to an appropriate risk differentiation by specifying relevant risk drivers, building statistical or mechanical methods to assign exposures to obligor or facility grades or pools, and estimating intermediate parameters of the model, where relevant; |
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(b) |
‘calibration segment’ means a uniquely identified subset of the scope of application of the probability of default (‘PD’) or loss given default (‘LGD’) model that is jointly calibrated; |
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(c) |
‘qualifying securitised exposures’ means any of the following types of securitised exposures:
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(d) |
‘internal model for calculating KIRB’ means a rating system for the calculation of KIRB referred to in Article 255(4) of Regulation (EU) No 575/2013. |
For the purposes of the first subparagraph, point (b), the PD and LGD models shall comprise all data and methods used as part of a rating system that deal with, respectively:
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(a) |
the differentiation and quantification of own estimates of PD, where such data and methods are used to assess the default risk for each obligor or exposure covered by the PD model; |
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(b) |
the differentiation and quantification of own estimates of LGD, and the expected loss best estimate (‘ELBE’), where such data and methods are used to assess the level of loss in the case of default for each facility covered by the LGD model. |