BPCE - 2018 Risk report / Pillar III
5 CREDIT RISK
CREDIT RISK MANAGEMENT 5.1
CREDIT RISK MITIGATION TECHNIQUES 5.3
76
91
Credit risk governance
76 78 78 78 79
Definition of guarantees
91
Credit policy Rating policy Caps and limits
Accounting recognition under the standardized or IRB approach Conditions for the recognition of guarantees
91 91 91 92 92
Risk diversification
Credit risk monitoring and supervision system Quality assessment of loan outstandings and impairment policy Forbearance, performing and non-performing exposures
Guarantors
80
Concentration of collateral volumes
Valuation and management of collateral comprising real guarantees
82
93
RISK MEASUREMENT AND INTERNAL 5.2 RATINGS
QUANTITATIVE DISCLOSURES 5.4
94
83
Exposure to credit and counterparty risks
94 96 97 98 99
Current situation
83 84 84 84 85 85 87
Provisions and impairments
Rating system
Non-impaired loans showing past due balances
Internal rating system governance
Restructured loans
Model development process
Non-performing and forborne exposures
Review of internal ratings-based models
Model mapping
DETAILED QUANTITATIVE DISCLOSURES 5.5 100 General quantitative disclosures on credit risk 101 Credit quality 110 Credit risk mitigation 116 Credit risk – standardized approach 118 Credit risk – internal model approach 122 Probability of Default (PD) and Loss Given Default (LGD) 132
Internal ratings-based approaches – retail customers
75
Risk Report Pillar III 2018
Made with FlippingBook - Online magazine maker