Société Générale / Risk Report - Pillar III
6 CREDIT AND COUNTERPARTY CREDIT RISK RISK MEASUREMENT AND INTERNAL RATINGS
MONITORING THE PERFORMANCE OF INTERNAL MODELS The performance level of the entire wholesale client credit system is measured by regular backtests that compare PD, LGD and CCF estimates with actual results by portfolio, thus making it possible to measure the prudence of the risk parameters used by the IRB approach. The results of backtests and remedial plans are presented to the Expert Committee for discussion and approval (see Governance of the modelling of risks, p. 83). These results justify the implementation of remedial plans if the system is deemed to be insufficiently prudent. The results presented above cover the entire Group portfolios including Private Banking since this year. Backtests compare the estimated probability of default (arithmetic mean weighted by
debtors) with the observed results (the historical annual default rate). The historical default rate was calculated on the basis of performing exposure over the period from 2007 to 2018. The level of prudence is generally considered to be fairly satisfactory and remained broadly stable compared with the previous year. The historical default rate continued to fall even further from previous year in 2019. Probability of default estimates are higher than the historical default rates for all Basel portfolios and for most ratings (which is considered to be conservative). Levels of prudence seen in the Large and Small and Medium Enterprises Basel portfolios were (relatively) high. It should also be noted that new internal models are being developed for some sizeable portfolios in order to comply with new regulatory requirements and to address the weaknesses identified in existing models.
TABLE 25: COMPARISON OF RISK PARAMETERS: ESTIMATED AND ACTUAL PD VALUES - WHOLESALE CLIENTS (CR9)
31.12.2019
Number of obligors
of which : new defaulted obligor in the year
Defaulted obligors over the year
Average historical annual default rate
Basel Portfolio
Weigthed average PD
Arithmetic average PD
End of previous year
End of the year
PD Range
TOTAL
0.1% 0.6%
645 542
729 529
1
- - - - - - - - - - - - - - - - - - - -
0.2% 0.0% 0.0% 0.0% 0.0% 0.3% 0.8% 3.6% 0.3% 0.2% 0.0% 0.1% 0.2% 0.4% 0.8% 3.8% 2.2% 0.2% 0.0% 0.1% 0.4% 1.1% 3.3% 12.7% 1.6% 0.1% 0.0% 0.2% 0.4% 1.1% 3.0% 0.3% 0.5% 0.4% 0.6% 1.4% 3.8% 10.7% 3.2% 13.7%
0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 0.00 to < 0.15 0.15 to < 0.25 0.25 to < 0.50 0.50 to < 0.75 0.75 to < 2.50 2.50 to < 10.00 10.00 to < 100.00 TOTAL Total Total Total
0.0% 0.0% 0.3% 0.5% 1.7% 4.4% 0.0% 0.0% 0.3% 0.5% 1.6% 4.0% 0.1% 0.0% 0.3% 0.5% 1.5% 4.1% 0.1% 0.0% 0.3% 0.5% 1.5% 4.3% 0.1% 0.2% 0.3% 0.5% 1.5% 4.5%
0.0% 0.0% 0.3% 0.1% 1.5% 4.8%
- - - - -
-
-
20 16 21 31 15
17
SOVEREIGNS
112
20 38 13
1
11.8% 15.2%
-
0.2% 0.7% 4,230
5,582 4,251
6 1
0.0% 2,999
0.0% 0.3% 0.3% 1.6% 3.8%
-
-
- - - -
300 146 196 507
320 274 198 461
INSTITUTIONS
1 4
14.8% 16.4%
82
78
1.3% 2.3% 2,234
2,289
14
2
0.1% 0.0% 0.3% 0.5%
228
214
- - - -
-
-
159 304
171 322
SPECIALISED LENDING
1.6% 827
871
- -
4.4%
647
662
8 6
2
13.8% 14.5%
69
49
-
1.0% 3.1% 36,637
37,285
407
35
0.1% 8,069
7,591
5
- - - - -
0.0%
-
-
-
0.3% 2,489 0.4% 3,293 1.6% 8,373 4.3% 11,798
2,412 4,398 7,834
2 6
LARGE CORPORATES
31
12,240
227 136
25 10
15.3% 17.2% 2,615 3.1% 5.5% 99,378
2,810
97,833
2,609
404
0.1% 3,410 0.2% 1,072 0.3% 4,442 0.5% 7,770
3,591 2,245 5,740 6,022
3
-
11
4 3 3
SMALL AND MEDIMUM-SIZED COMPANIES
8 6
1.6% 28,273 21,265
26 20
4.4% 38,716
42,665 16,305
803
121 253
16.5% 18.2% 15,695
1,752
78
PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |
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