BPCE_PILLAR_III_2017
5
CREDIT RISK
ORGANIZATION OF CREDIT RISK 5.1 MANAGEMENT
CREDIT RISK MITIGATION TECHNIQUES 5.3
88
74
Definition of guarantees
88
Credit risk governance
74 75 75 76 76
Accounting method using the standardized or IRB approach Conditions for the incorporation of guarantees
88 88 88 89
Credit policy
Credit risk monitoring and supervision system
Risk diversification
Rating policy
Guarantors
Caps and limits
Valuation and management of instruments comprising real guarantees
Quality assessment of loan outstandings and impairment policy Forbearance, performing and non-performing exposures
89
76
80
QUANTITATIVE DISCLOSURES 5.4
90
Exposure to credit and counterparty risks
90 92 92 93
INTERNAL RATINGS AND RISK 5.2 MEASUREMENTS
Provisions and impairments
81
Non-impaired loans showing past due balances
Factors impacting losses incurred over the period
81 81 82 82 82 83 83 85 86 86 87
Restructured loans
Current situation
Rating system
DETAILED QUANTITATIVE DISCLOSURES 5.5
94
Internal rating system governance
General quantitative disclosures on credit risk
95
Developing a model
Credit quality
104 110 112 116 127
Review of internal ratings-based models
Credit risk mitigation
Model mapping
Credit risk – standardized approach Credit risk – internal model approach
Internal ratings-based approaches – retail customers Internal ratings-based approaches – non-retail customers
Probability of default (PD) and loss given default (LGD)
Standardized approach
Backtesting
73
Risk Report Pillar III 2017
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