Schlagwort: Margin of conservatism

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The Margin of Conservatism (MoC) Framework

Since the publication of Basel II in 2004, and its first application in 2007-2008, banks have been considering the so-called margin of conservatism (MoC) in the estimation of the risk parameters: Probability of Default (PD), Loss Given Default (LGD), and Credit Conversion Factor (CCF). However, there have been no concrete technical guidance about the technical implementation until the European Banking Authority (EBA) published guidelines (GLs) on PD estimation, LGD estimation and the treatment of defaulted exposures in November 2017.

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