The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The proposed methodology is described by first...

This paper proposes a methodology that utilises model performance as a metric to assess the representativeness of external or pooled data when it is used by banks in regulatory model development and calibration. There is currently no formal methodology to assess representativeness. The paper...

This paper proposes a methodology that utilises model performance as a metric to assess the representativeness of external or pooled data when it is used by banks in regulatory model development and calibration. There is currently no formal methodology to assess representativeness. The paper...