EBU Single Rulebook Q&A 25 August 2015 2015_2257 Calculation of Default rate past 5 years and Loss rate past 5 years

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European Union · · · 25-08-2015

If bank applies AIRB models to RWA calculation (according with the decision of the competent authority) for a period shorter than 5 years, what time series should be used for calculation of 5-year average values when calculating default rates and loss rates ?

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