BPCE_REGISTRATION_DOCUMENT_2017
3 RISK REPORT Credit risk
PD (PROBABILITY OF DEFAULT) MODELS ➡
Number of models
Exposure class
Portfolio
Description/Methodology
Expert criteriaincludingquantitativeand qualitative variables/economic and descriptive variables Portfolio with lowdefault risk
Sovereignsand affiliates
1
Sovereigns, central governments and centralbanks
Expert criteria Portfolio with lowdefault risk
Multilateral developmentbanks Municipalities( communes ), departments, regions,social housingagencies,hospitals, etc.
1
10 (NS*)
Expertcriteria/statisticalmodeling(logistic regression) Portfolio with lowdefault risk
Public sector
Expertcriteria Portfolio with lowdefault risk
OECDor non-OECDbanks, brokers/dealers
Financialinstitutions
3
5 Expert criteriaincludingquantitative andqualitative variables, depending on thebusinesssector Portfolio with lowdefault risk Statisticalmodels(logisticregression)or flat scores,on companies publishingparent company orconsolidatedfinancial statements, mainly basedon balancesheet data depending on thebusiness sector, and banking behavior/history Expert criteriaincludingquantitativeand qualitative variables Portfolio with lowdefault risk Expert criteria basedon features offinanced goods/projects Portfolio with lowdefault risk Statistical models(logistic regression) includingbehavioral and socioeconomic variables, differentiated by customerprofile 10 Statisticalmodels(logisticregression)includingbalance sheetand behavioral variables Statistical models(logistic regression) includingbehavioral and socioeconomicvariables, or project description variables (quota, etc.),differentiatedby customerprofile Statistical models(logistic regression) includingbehavioral and socioeconomic variables 1 2 7
Large corporates (Revenue> €1 billion)
SMEs (Revenue> €3 million) Non-profitsand insurance companies Specialized Financing (real estate,asset pool, aircraft, etc.)
11 (o/w 4NS)
8 (o/w 1NS)
Corporates
Individualcustomers
Professionalcustomers (socioeconomic category, differentiatedaccording to certain sectors)
5 (o/w 2NS)
Residential real estate
Retail customers
Revolvingloans
NS refers to non-standardizedmodelsused in determiningcapitalrequirements. *
160
Registration document 2017
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