BPCE_REGISTRATION_DOCUMENT_2017

RISK REPORT Credit risk

LGD (LOSS GIVEN DEFAULT) MODELS ➡

Number of models

Exposure class

Portfolio

Description/Methodology

Sovereigns, central governments and central banks

Sovereignsand affiliates

1 1

Expert criteriaincludingquantitativeand qualitative variables Expert criteriaincludingquantitativeand qualitative variables Modelsbased on estimatesof asset resale conditions or future cash flows

Financialinstitutions

Banks

Specialized Financing (aircraft, real estate, etc.)

5

3

Other contracts (general,pre-exportfinancing, property investment companies, etc.)

8 (o/w 3NS)

Modelsbased on estimated losses, segmented by typeof contract and guarantee, or expertcriteria 1 Modelsbased on estimatesof asset resale conditions, segmented by typeof asset financed Modelsbased on estimated losses, segmented by typeof contract and guarantee 2 Modelsbased on estimated losses, segmented by typeof contract and guarantee 2 Modelsbased on estimatesof asset resale conditions, segmented by typeof asset financed 1 Modelsbased on estimated losses, segmented by typeof contract

Corporates

Lease financing

3 (o/w 1NS)

Residential real estate

Other individualand professional customers

Lease financing Revolvingloans

Retail customers

NS refers to non-standardizedmodelsused in determiningcapitalrequirements. *

CCF/EAD (EXPOSURE AT DEFAULT) MODELS ➡

Number of models

Exposure class

Portfolio

Description/Methodology

Sovereigns, central governments and central banks

Sovereignsand affiliates

1 1

Applicationof regulatory inputs Applicationof regulatory inputs

Financialinstitutions

Banks

2 (o/w 1NS) 3 (o/w 1NS)

Corporates

All companies

Conversionfactors,segmented by typeof contract

Residential real estate Other individualand professional customers

Conversionfactors,segmented by typeof contract

Conversionfactors and flat-ratevalues, segmented by type of contract

2 1

Retail customers

Revolvingloans

Conversionfactors,segmented by typeof contract

NS refers to non-standardizedmodelsused in determiningcapitalrequirements. *

INTERNAL RATINGS-BASED APPROACHES – RETAIL CUSTOMERS For retail customers, Groupe BPCE has established standardized internal ratings-basedmethods and centralized ratings applications used to assess the credit quality of its loan books for better risk supervision.In the Banque Populaire and Caisse d’Epargne networks, they are also used to determinecapital requirementsaccordingto the AdvancedIRB method. The probability of default of retail customers is modeled by the DRCCP, based in large part on the banking behavior of the counterparties. The models are segmented by type of customer, distinguishingbetweenindividualand professionalcustomers(with or

without balance sheets) and according to products owned. The counterparties in each segment are automatically classified using statisticalmodels (usually logistic regressionmodels) into similar and statistically separate risk categories. Probability of default is estimated for each of these categories, based on the observation of average default rates over the longest period possible. These estimates are systematicallyadjusted to factor in a safety buffer for the uncertainty of the estimates. Where pas internal data do not cover a full economiccycle, an additionalsafety buffer is determined in order to maintain a TTC (through the cycle) approach. For comparison purposes, risk reconciliation is carried out between

internal ratings and agency ratings.

161

Registration document 2017

Made with FlippingBook - professional solution for displaying marketing and sales documents online