BPCE - Risk Report - Pillar III 2020

5

CREDIT RISKS

RISK MEASUREMENT AND INTERNAL RATINGS

Number of CCF/EAD (Exposure At

Number of PD (Probability of Default) models

Number of LGD (Loss Given

Exposure class

Description/ Methodology

Default) models

Description/ Methodology

Default) models

Description/ Methodology

Portfolio

Portfolio

Expert criteria including quantitative and qualitative variables

Expert criteria including quantitative and qualitative variables/economic and descriptive variables Portfolio with low default risk

Application of regulatory inputs

Sovereigns and affiliates

Sovereigns and affiliates

Sovereigns, central governments and central banks

1

1

1

Multilateral development banks Municipalities (communes), departments, regions, social housing agencies, hospitals, etc. OECD or non-OECD banks, brokers/dealers

Expert criteria Portfolio with low default risk

1

Expert criteria/statistical modeling (logistic regression) Portfolio with low default risk

Public sector

10(NA*)

Expert criteria including quantitative and qualitative variables

Application of regulatory inputs

Expert criteria Portfolio with low default risk

Institutions

3

Banks

1

1

Expert criteria including quantitative and qualitative variables, depending on the business sector Portfolio with low default risk Statistical models (logistic regression) or flat scores, on companies publishing parent company or consolidated financial statements, mainly based on balance sheet data depending on the business sector, and banking behavior/history

Large corporates (Rev, > €1bn)

5

Models based on estimated losses, segmented by type of contract and guarantee, or expert criteria Models based on estimates of asset resale conditions, segmented by type of asset financed Models based on estimates of asset resale conditions or future cash flows

Other contracts (general, property investment companies, etc.)

Conversion factors, segmented by type of contract

Corporates SMEs (Rev > €3)

11(o/w 2 NA)

2(o/w 1 NA

7(o/w 3 NA)

Corporates

Non-profits and Insurance companies

Expert criteria including quantitative and qualitative variables Portfolio with low default risk

2

Lease financing

1

Specialized lending (real estate, asset pool, aircraft, etc.)

Specialized lending (real estate, asset pool, aircraft, etc.)

Expert criteria based on features of financed goods/projects Portfolio with low default risk

8 (o/w 1 NA)

5

Statistical models (logistic regression) including behavioral and socioeconomic variables, differentiated by customer profile

Individual customers

7

Models based on estimated losses, segmented by type of contract and guarantee

Conversion factors, segmented by type of contract

Professional customers (socioeconomic category differentiated according to certain sectors)

Residential real estate

3(o/w 1 NA)

3(o/w 1 NA)

Statistical models (logistic regression) including balance sheet and behavioral variables

10

Models based on estimated losses, segmented by type of contract and guarantee Models based on estimates of asset resale conditions, segmented by type of asset financed Models based on estimated losses, segmented by type of contract

Conversion factors and flat-rate values, segmented by type of contract

Other individual and professional customers

Retail

2

2

Statistical models (logistic regression) including behavioral and socioeconomic variables, or project description variables (quota, etc.), differentiated by customer profile

Residential real estate

5(o/w 2 NA)

Lease financing

2

Conversion factors, segmented by type of contract

Statistical models (logistic regression) including behavioral and socioeconomic variables

Revolving loans

2

Revolving loans

2

2

NA refers to models not yet approved for the determination of capital requirements. *

90

RISK REPORT PILLAR III 2020 | GROUPE BPCE

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