Following the publication of Policy Statement 11/20 ‘Credit risk: Probability of Default and Loss Given Default estimation’, the PRA hosted a virtual meeting for firms that are using an internal ratings based model to calculate capital requirements for residential mortgage exposures. The PRA presented on the most relevant cross-firm modelling issues, and further discussed their expectations for developing Hybrid Probability of Default and Loss Given Default models. The presentation slides used at the event are available below.
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