EBU Single Rulebook Q&A 30 September 2015 2015_2346 ‘Exposure weighted average LGD’ computation in CR GB2 report
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European Union · · · 28-07-2017
Own funds instructions states that column ‘090 Exposure weighted average LGD (%)’ in CR GB 2 has the same definition as column 230 of CR IRB template.Column 230 of CR IRB template has the following definition:‘All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered […].
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