EBU Single Rulebook Q&A 30 September 2015 2015_2355 PD selection in case of substitution approach
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European Union · · · 30-09-2015
In case of substitution approach application, the PD to be use (Annex IV, C103, c060), is the one of guarantor or the one of the obligor? A client with regulatory asset class Corporate, guaranteed by a Bank, has to receive the PD of the Bank or the one of the Corporate?
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