EBA欧洲银行-KRI-Risk-parameters-annex-Q3-2018_10页_1mb

RISK DASHBOARD ANNEX - CREDIT RISK PARAMETERS (Q3 2018)

Core Content Overview

This document provides credit risk parameters for IRB banks in various countries, focusing on default rate, loss rate, PD - adjusted, and LGD. The data includes percentiles (25th, 50th, 75th) and weighted average (W.A) values, along with the number of observations (N). The statistics are derived from COREP C 9.02 and are only displayed for countries with more than 3 banks reporting.

Key Countries and Risk Parameters

Austria

• Corporates:

  • Default rate: 25th = 0.94%, 50th = 1.52%, 75th = 5.98%, W.A = 1.48%
  • Loss rate: 25th = 30.77%, 50th = 34.79%, 75th = 48.71%, W.A = 36.50%
  • PD - adjusted: 25th = 0.28%, 50th = 0.63%, 75th = 1.46%, W.A = 1.39%
  • LGD: 25th = 34.50%, 50th = 43.00%, 75th = 45.00%, W.A = 29.75%

• SME:

  • Default rate: 25th = 0.27%, 50th = 0.50%, 75th = 1.11%, W.A = 2.57%
  • Loss rate: 25th = 26.35%, 50th = 40.44%, 75th = 45.00%, W.A = 30.70%

• Retail:

  • Default rate: 25th = 0.10%, 50th = 0.47%, 75th = 0.71%, W.A = 0.59%
  • Loss rate: 25th = 32.77%, 50th = 41.11%, 75th = 67.73%, W.A = 30.11%

• Secured on real estate:

  • Default rate: 25th = 0.45%, 50th = 0.45%, 75th = 0.61%, W.A = 0.52%
  • Loss rate: 25th = 6.48%, 50th = 11.87%, 75th = 11.89%, W.A = 13.18%

• Qualifying Revolving:

  • Default rate: 25th = 0.10%, 50th = 0.44%, 75th = 0.51%, W.A = 0.36%
  • Loss rate: 25th = 31.17%, 50th = 62.26%, 75th = 74.15%, W.A = 74.12%

• Other Retail:

  • Default rate: 25th = 0.45%, 50th = 0.85%, 75th = 1.80%, W.A = 0.80%
  • Loss rate: 25th = 42.83%, 50th = 60.80%, 75th = 75.74%, W.A = 46.39%
  • PD - adjusted: 25th = 1.12%, 50th = 2.15%, 75th = 4.03%, W.A = 2.18%
  • LGD: 25th = 29.74%, 50th = 38.90%, 75th = 55.71%, W.A = 44.24%

Belgium

• Corporates:

  • Default rate: 25th = 0.66%, 50th = 0.87%, 75th = 1.83%, W.A = 0.88%
  • Loss rate: 25th = 10.79%, 50th = 18.29%, 75th = 29.05%, W.A = 17.37%
  • PD - adjusted: 25th = 0.19%, 50th = 0.46%, 75th = 1.20%, W.A = 1.95%
  • LGD: 25th = 31.29%, 50th = 40.96%, 75th = 45.00%, W.A = 28.42%

• SME:

  • Default rate: 25th = 1.24%, 50th = 1.28%, 75th = 2.80%, W.A = 1.49%
  • Loss rate: 25th = 18.61%, 50th = 18.61%, 75th = 23.17%, W.A = 16.22%
  • PD - adjusted: 25th = 0.26%, 50th = 1.47%, 75th = 2.55%, W.A = 2.69%
  • LGD: 25th = 26.34%, 50th = 36.02%, 75th = 45.00%, W.A = 26.31%

• Retail:

  • Default rate: 25th = 0.37%, 50th = 0.96%, 75th = 1.58%, W.A = 1.17%
  • Loss rate: 25th = 9.50%, 50th = 12.04%, 75th = 23.33%, W.A = 10.26%

• Secured on real estate:

  • Default rate: 25th = 0.74%, 50th = 1.36%, 75th = 2.15%, W.A = 1.24%
  • Loss rate: 25th = 4.25%, 50th = 5.91%, 75th = 12.04%, W.A = 5.19%

• Qualifying Revolving:

  • Default rate: 25th = 0.25%, 50th = 0.91%, 75th = 1.10%, W.A = 0.60%
  • Loss rate: 25th = 32.42%, 50th = 48.73%, 75th = 57.36%, W.A = 56.98%

• Other Retail:

  • Default rate: 25th = 0.28%, 50th = 0.79%, 75th = 3.21%, W.A = 0.93%
  • Loss rate: 25th = 17.86%, 50th = 34.58%, 75th = 44.64%, W.A = 35.25%
  • PD - adjusted: 25th = 1.34%, 50th = 1.99%, 75th = 3.11%, W.A = 1.77%
  • LGD: 25th = 26.02%, 50th = 33.94%, 75th = 50.44%, W.A = 31.48%

Bulgaria

• Corporates:

  • Default rate: 25th = 0.01%, 50th = 1.59%, 75th = 3.40%, W.A = 3.04%
  • Loss rate: 25th = 14.63%, 50th = 19.05%, 75th = 35.08%, W.A = 19.06%
  • PD - adjusted: 25th = 0.50%, 50th = 1.82%, 75th = 4.20%, W.A = 4.52%
  • LGD: 25th = 24.64%, 50th = 37.00%, 75th = 45.00%, W.A = 39.62%

• SME:

  • Default rate: 25th = 0.68%, 50th = 1.93%, 75th = 3.50%, W.A = 2.02%
  • Loss rate: 25th = 19.53%, 50th = 42.54%, 75th = 55.67%, W.A = 41.28%
  • PD - adjusted: 25th = 0.38%, 50th = 1.41%, 75th = 2.70%, W.A = 4.46%
  • LGD: 25th = 13.46%, 50th = 40.13%, 75th = 45.00%, W.A = 36.33%

• Retail:

  • Default rate: 25th = 0.21%, 50th = 0.81%, 75th = 1.99%, W.A = 1.98%
  • Loss rate: 25th = 15.51%, 50th = 33.71%, 75th = 52.47%, W.A = 15.72%
  • PD - adjusted: 25th = 0.56%, 50th = 1.51%, 75th = 3.07%, W.A = 1.91%
  • LGD: 25th = 22.24%, 50th = 35.74%, 75th = 57.59%, W.A = 33.74%

• Other Retail:

  • Default rate: 25th = 0.21%, 50th = 1.41%, 75th = 2.34%, W.A = 2.33%
  • Loss rate: 25th = 16.42%, 50th = 55.39%, 75th = 66.20%, W.A = 16.35%
  • PD - adjusted: 25th = 0.59%, 50th = 1.81%, 75th = 6.29%, W.A = 2.16%
  • LGD: 25th = 31.96%, 50th = 46.67%, 75th = 57.43%, W.A = 56.67%

Croatia

• Corporates:

  • Default rate: 25th = 0.01%, 50th = 1.59%, 75th = 3.40%, W.A = 3.04%
  • Loss rate: 25th = 14.63%, 50th = 19.05%, 75th = 35.08%, W.A = 19.06%
  • PD - adjusted: 25th = 0.71%, 50th = 1.28%, 75th = 2.60%, W.A = 2.89%
  • LGD: 25th = 24.67%, 50th = 37.80%, 75th = 45.00%, W.A = 38.46%

• SME:

  • Default rate: 25th = 0.21%, 50th = 0.81%, 75th = 1.99%, W.A = 1.98%
  • Loss rate: 25th = 15.51%, 50th = 33.71%, 75th = 52.47%, W.A = 15.72%
  • PD - adjusted: 25th = 1.10%, 50th = 3.23%, 75th = 6.37%, W.A = 5.04%
  • LGD: 25th = 30.78%, 50th = 41.94%, 75th = 52.35%, W.A = 41.57%

• Other Retail:

  • Default rate: 25th = 0.22%, 50th = 1.41%, 75th = 2.34%, W.A = 2.33%
  • Loss rate: 25th = 16.42%, 50th = 55.39%, 75th = 66.20%, W.A = 16.35%
  • PD - adjusted: 25th = 0.59%, 50th = 1.81%, 75th = 6.29%, W.A = 2.16%
  • LGD: 25th = 31.96%, 50th = 46.67%, 75th = 57.43%, W.A = 56.67%

Cyprus

• Corporates:

  • Default rate: 25th = 0.35%, 50th = 1.39%, 75th = 4.89%, W.A = 1.79%
  • Loss rate: 25th = 44.29%, 50th = 52.69%, 75th = 66.70%, W.A = 12.58%
  • PD - adjusted: 25th = 0.65%, 50th = 1.28%, 75th = 3.20%, W.A = 1.41%
  • LGD: 25th = 18.71%, 50th = 30.80%, 75th = 45.00%, W.A = 22.11%

• SME:

  • Default rate: 25th = 0.35%, 50th = 1.39%, 75th = 4.89%, W.A = 1.79%
  • Loss rate: 25th = 44.29%, 50th = 50.00%, 75th = 65.30%, W.A = 16.21%
  • PD - adjusted: 25th = 0.63%, 50th = 1.40%, 75th = 2.97%, W.A = 1.08%
  • LGD: 25th = 37.24%, 50th = 46.42%, 75th = 55.35%, W.A = 12.72%

• Retail:

  • Default rate: 25th = 0.15%, 50th = 0.68%, 75th = 0.78%, W.A = 0.81%
  • Loss rate: 25th = 27.05%, 50th = 39.16%, 75th = 48.59%, W.A = 37.33%
  • PD - adjusted: 25th = 0.38%, 50th = 1.06%, 75th = 2.62%, W.A = 1.19%
  • LGD: 25th = 15.98%, 50th = 21.95%, 75th = 32.79%, W.A = 15.90%

• Secured on real estate:

  • Default rate: 25th = 0.36%, 50th = 0.44%, 75th = 0.50%, W.A = 0.49%
  • Loss rate: 25th = 8.43%, 50th = 8.43%, 75th = 8.66%, W.A = 9.46%
  • PD - adjusted: 25th = 0.23%, 50th = 0.56%, 75th = 1.08%, W.A = 1.21%
  • LGD: 25th = 12.42%, 50th = 14.34%, 75th = 22.84%, W.A = 22.93%

• Qualifying Revolving:

  • Default rate: 25th = 0.61%, 50th = 0.73%, 75th = 2.26%, W.A = 2.24%
  • Loss rate: 25th = 25.52%, 50th = 54.20%, 75th = 70.06%, W.A = 44.43%
  • PD - adjusted: 25th = 0.66%, 50th = 1.28%, 75th = 2.39%, W.A = 4.96%
  • LGD: 25th = 48.29%, 50th = 57.50%, 75th = 68.49%, W.A = 57.63%

• Other Retail:

  • Default rate: 25th = 0.62%, 50th = 2.00%, 75th = 3.23%, W.A = 1.56%
  • Loss rate: 25th = 32.02%, 50th = 46.60%, 75th = 53.66%, W.A = 47.07%
  • PD - adjusted: 25th = 1.05%, 50th = 2.80%, 75th = 4.41%, W.A = 3.39%
  • LGD: 25th = 30.31%, 50th = 43.14%, 75th = 51.21%, W.A = 46.60%

Denmark

• Corporates:

  • Default rate: 25th = 0.37%, 50th = 0.71%, 75th = 0.80%, W.A = 0.63%
  • Loss rate: 25th = 18.69%, 50th = 29.55%, 75th = 30.81%, W.A = 24.40%
  • PD - adjusted: 25th = 0.29%, 50th = 0.60%, 75th = 1.74%, W.A = 1.43%
  • LGD: 25th = 30.25%, 50th = 40.00%, 75th = 45.00%, W.A = 22.24%

• SME:

  • Default rate: 25th = 0.48%, 50th = 0.60%, 75th = 1.03%, W.A = 0.81%
  • Loss rate: 25th = 17.49%, 50th = 27.80%, 75th = 38.12%, W.A = 28.03%
  • PD - adjusted: 25th = 0.76%, 50th = 1.32%, 75th = 2.61%, W.A = 1.79%
  • LGD: 25th = 17.46%, 50th = 25.65%, 75th = 36.72%, W.A = 19.88%

• Retail:

  • Default rate: 25th = 0.25%, 50th = 0.64%, 75th = 1.51%, W.A = 0.70%
  • Loss rate: 25th = 8.62%, 50th = 20.11%, 75th = 39.67%, W.A = 15.83%

• Secured on real estate:

  • Default rate: 25th = 0.53%, 50th = 0.96%, 75th = 3.95%, W.A = 0.67%
  • Loss rate: 25th = 3.74%, 50th = 8.54%, 75th = 16.33%, W.A = 12.87%
  • PD - adjusted: 25th = 0.29%, 50th = 0.77%, 75th = 1.58%, W.A = 1.16%
  • LGD: 25th = 10.98%, 50th = 14.46%, 75th = 19.53%, W.A = 13.64%

• Qualifying Revolving:

  • Default rate: 25th = 0.67%, 50th = 1.22%, 75th = 4.07%, W.A = 1.23%
  • Loss rate: 25th = 29.52%, 50th = 34.32%, 75th = 38.05%, W.A = 36.39%
  • PD - adjusted: 25th = 0.57%, 50th = 1.58%, 75th = 3.54%, W.A = 1.62%
  • LGD: 25th = 44.22%, 50th = 61.50%, 75th = 76.96%, W.A = 66.81%

• Other Retail:

  • Default rate: 25th = 0.63%, 50th = 1.49%, 75th = 3.66%, W.A = 0.95%
  • Loss rate: 25th = 17.71%, 50th = 39.67%, 75th = 55.68%, W.A = 34.30%
  • PD - adjusted: 25th = 1.55%, 50th = 2.68%, 75th = 4.62%, W.A = 2.00%
  • LGD: 25th = 28.58%, 50th = 41.64%, 75th = 53.39%, W.A = 41.20%

Estonia

• Corporates:

  • Default rate: 25th = 0.23%, 50th = 0.26%, 75th = 0.36%, W.A = 0.30%
  • Loss rate: 25th = 26.11%, 50th = 49.16%, 75th = 50.42%, W.A = 44.95%
  • PD - adjusted: 25th = 0.32%, 50th = 0.75%, 75th = 1.84%, W.A = 1.00%
  • LGD: 25th = 39.08%, 50th = 45.00%, 75th = 48.93%, W.A = 41.71%

• SME:

  • Default rate: 25th = 0.62%, 50th = 0.81%, 75th = 0.96%, W.A = 0.74%
  • Loss rate: 25th = 14.14%, 50th = 17.15%, 75th = 18.63%, W.A = 18.34%
  • PD - adjusted: 25th = 0.79%, 50th = 1.36%, 75th = 2.85%, W.A = 1.50%
  • LGD: 25th = 43.99%, 50th = 45.00%, 75th = 45.00%, W.A = 40.32%

• Retail:

  • Default rate: 25th = 0.02%, 50th = 0.31%, 75th = 2.89%, W.A = 0.26%
  • Loss rate: 25th = 33.33%, 50th = 47.95%, 75th = 79.03%, W.A = 37.09%

• Secured on real estate:

  • Default rate: 25th = 0.13%, 50th = 0.26%, 75th = 0.26%, W.A = 0.19%
  • Loss rate: 25th = 8.43%, 50th = 8.43%, 75th = 8.66%, W.A = 9.46%
  • PD - adjusted: 25th = 0.40%, 50th = 0.59%, 75th = 1.67%, W.A = 2.60%
  • LGD: 25th = 12.40%, 50th = 14.34%, 75th = 22.84%, W.A = 35.14%

• Qualifying Revolving:

  • Default rate: 25th = 0.77%, 50th = 4.66%, 75th = 32.00%, W.A = 3.17%
  • Loss rate: 25th = 18.34%, 50th = 29.33%, 75th = 59.54%, W.A = 29.10%
  • PD - adjusted: 25th = 0.27%, 50th = 1.30%, 75th = 2.48%, W.A = 1.37%
  • LGD: 25th = 50.23%, 50th = 65.18%, 75th = 73.91%, W.A = 62.05%

• Other Retail:

  • Default rate: 25th = 0.46%, 50th = 0.79%, 75th = 2.98%, W.A = 0.53%
  • Loss rate: 25th = 28.24%, 50th = 41.94%, 75th = 53.01%, W.A = 24.49%
  • PD - adjusted: 25th = 0.71%, 50th = 2.76%, 75th = 3.68%, W.A = 2.92%
  • LGD: 25th = 28.71%, 50th = 40.90%, 75th = 55.92%, W.A = 31.06%

Finland

• Corporates:

  • Default rate: 25th = 0.25%, 50th = 0.36%, 75th = 1.56%, W.A = 0.97%
  • Loss rate: 25th = 14.14%, 50th = 17.15%, 75th = 18.63%, W.A = 18.34%
  • PD - adjusted: 25th = 0.24%, 50th = 0.45%, 75th = 1.04%, W.A = 1.03%
  • LGD: 25th = 30.01%, 50th = 37.16%, 75th = 45.00%, W.A = 36.15%

• SME:

  • Default rate: 25th = 0.46%, 50th = 0.60%, 75th = 1.56%, W.A = 1.24%
  • Loss rate: 25th = 12.93%, 50th = 16.32%, 75th = 36.69%, W.A = 15.71%
  • PD - adjusted: 25th = 0.26%, 50th = 0.76%, 75th = 1.73%, W.A = 1.50%
  • LGD: 25th = 27.63%, 50th = 43.19%, 75th = 51.00%, W.A = 33.90%

• Retail:

  • Default rate: 25th = 0.23%, 50th = 0.83%, 75th = 2.12%, W.A = 1.43%
  • Loss rate: 25th = 3.94%, 50th = 9.45%, 75th = 25.09%, W.A = 1.81%
  • PD - adjusted: 25th = 0.61%, 50th = 1.06%, 75th = 2.62%, W.A = 1.17%
  • LGD: 25th = 15.98%, 50th = 19.81%, 75th = 41.15%, W.A = 18.26%

• Secured on real estate:

  • Default rate: 25th = 0.62%, 50th = 1.39%, 75th = 17.48%, W.A = 1.36%
  • Loss rate: 25th = 3.10%, 50th = 6.33%, 75th = 10.28%, W.A = 0.88%
  • PD - adjusted: 25th = 0.35%, 50th = 0.68%, 75th = 1.34%, W.A = 3.34%
  • LGD: 25th = 11.85%, 50th = 14.21%, 75th = 17.27%, W.A = 22.19%

• Qualifying Revolving:

  • Default rate: 25th = 0.77%, 50th = 13.29%, 75th = 39.49%, W.A = 23.25%
  • Loss rate: 25th = 0.77%, 50th = 12.66%, 75th = 18.33%, W.A = 16.10%
  • PD - adjusted: 25th = 0.42%, 50th = 1.26%, 75th = 1.83%, W.A = 1.61%
  • LGD: 25th = 45.68%, 50th = 61.12%, 75th = 72.07%, W.A = 67.24%

• Other Retail:

  • Default rate: 25th = 0.52%, 50th = 1.07%, 75th = 5.52%, W.A = 1.66%
  • Loss rate: 25th = 8.71%, 50th = 23.54%, 75th = 33.32%, W.A = 5.05%
  • PD - adjusted: 25th = 0.99%, 50th = 3.02%, 75th = 4.01%, W.A = 4.79%
  • LGD: 25th = 25.70%, 50th = 37.79%, 75th = 51.07%, W.A =