EBA欧洲银行-KRI-Risk-parameters-annex-Q2-2018_11页_461kb

报告摘要

RISK DASHBOARD ANNEX - CREDIT RISK PARAMETERS (Q2 2018)

Core Content Overview

This document presents credit risk parameters for IRB (Internal Ratings-Based) banks in various EU and main non-EU countries for the second quarter of 2018. The data includes statistics on Probability of Default (PD) and Loss Given Default (LGD) for different categories of counterparties: Corporates, Retail, and their subcategories. The statistics are based on the number of observations and include 25th, 50th, 75th percentiles and weighted averages (W.A).

Main Countries and Their Risk Parameters

Austria

Corporates:
- PD: 25th = 0.95%, 50th = 1.34%, 75th = 22.25%, W.A. = 1.54%
- LGD: 25th = 0.25%, 50th = 0.63%, 75th = 1.92%, W.A. = 1.64%
- N = 55
Retail:
- PD: 25th = 0.69%, 50th = 1.26%, 75th = 2.40%, W.A. = 1.66%
- LGD: 25th = 16.45%, 50th = 20.96%, 75th = 31.79%, W.A. = 29.09%
- N = 63
Retail - Secured on real estate property:
- PD: 25th = 0.38%, 50th = 0.78%, 75th = 1.84%, W.A. = 1.50%
- LGD: 25th = 28.18%, 50th = 37.30%, 75th = 52.74%, W.A. = 45.01%
- N = 53
Retail - Qualifying Revolving:
- PD: 25th = 0.62%, 50th = 0.96%, 75th = 1.70%, W.A. = 2.03%
- LGD: 25th = 46.45%, 50th = 57.56%, 75th = 71.02%, W.A. = 51.27%
- N = 24
Retail - Other Retail:
- PD: 25th = 0.93%, 50th = 2.11%, 75th = 4.00%, W.A. = 2.15%
- LGD: 25th = 28.18%, 50th = 37.30%, 75th = 52.74%, W.A. = 45.01%
- N = 54

Belgium

Corporates:
- PD: 25th = 0.62%, 50th = 0.81%, 75th = 0.98%, W.A. = 0.84%
- LGD: 25th = 31.86%, 50th = 40.26%, 75th = 45.00%, W.A. = 28.85%
- N = 65
Retail:
- PD: 25th = 0.61%, 50th = 1.42%, 75th = 1.88%, W.A. = 1.26%
- LGD: 25th = 15.04%, 50th = 18.76%, 75th = 24.90%, W.A. = 17.28%
- N = 62
Retail - Secured on real estate property:
- PD: 25th = 0.53%, 50th = 1.17%, 75th = 1.70%, W.A. = 1.15%
- LGD: 25th = 10.65%, 50th = 14.40%, 75th = 19.28%, W.A. = 13.34%
- N = 55
Retail - Qualifying Revolving:
- PD: 25th = 0.45%, 50th = 1.70%, 75th = 2.58%, W.A. = 1.07%
- LGD: 25th = 44.68%, 50th = 54.41%, 75th = 68.06%, W.A. = 48.34%
- N = 28
Retail - Other Retail:
- PD: 25th = 1.13%, 50th = 2.08%, 75th = 3.15%, W.A. = 1.80%
- LGD: 25th = 25.11%, 50th = 33.54%, 75th = 50.44%, W.A. = 31.45%
- N = 53

Bulgaria

Corporates:
- PD: 25th = 0.92%, 50th = 1.37%, 75th = 33.58%, W.A. = 3.88%
- LGD: 25th = 31.24%, 50th = 37.95%, 75th = 45.00%, W.A. = 40.27%
- N = 33
Retail - Secured on real estate property:
- PD: 25th = 0.44%, 50th = 1.64%, 75th = 3.01%, W.A. = 2.71%
- LGD: 25th = 15.42%, 50th = 26.21%, 75th = 39.70%, W.A. = 32.34%
- N = 54
Retail - Qualifying Revolving:
- PD: 25th = 1.01%, 50th = 1.97%, 75th = 2.96%, W.A. = 2.71%
- LGD: 25th = 40.99%, 50th = 60.39%, 75th = 73.39%, W.A. = 40.23%
- N = 23
Retail - Other Retail:
- PD: 25th = 0.88%, 50th = 2.43%, 75th = 4.41%, W.A. = 3.63%
- LGD: 25th = 31.96%, 50th = 46.70%, 75th = 56.40%, W.A. = 55.13%
- N = 46

Croatia

Corporates:
- PD: 25th = 0.92%, 50th = 1.37%, 75th = 33.58%, W.A. = 3.88%
- LGD: 25th = 20.79%, 50th = 37.00%, 75th = 43.53%, W.A. = 39.02%
- N = 27
Retail - SME:
- PD: 25th = 0.48%, 50th = 1.15%, 75th = 2.24%, W.A. = 2.04%
- LGD: 25th = 19.73%, 50th = 49.95%, 75th = 62.83%, W.A. = 17.01%
- N = 50
Retail - Secured on real estate property:
- PD: 25th = 1.46%, 50th = 3.51%, 75th = 6.58%, W.A. = 1.47%
- LGD: 25th = 49.29%, 50th = 53.85%, 75th = 64.16%, W.A. = 17.46%
- N = 41
Retail - Qualifying Revolving:
- PD: 25th = 1.42%, 50th = 2.98%, 75th = 10.19%, W.A. = 1.51%
- LGD: 25th = 34.81%, 50th = 62.54%, 75th = 98.20%, W.A. = 77.22%
- N = 45
Retail - Other Retail:
- PD: 25th = 0.76%, 50th = 2.36%, 75th = 4.20%, W.A. = 2.36%
- LGD: 25th = 33.59%, 50th = 40.94%, 75th = 57.66%, W.A. = 38.25%
- N = 59

Cyprus

Corporates:
- PD: 25th = 0.50%, 50th = 6.81%, 75th = 16.86%, W.A. = 9.69%
- LGD: 25th = 23.36%, 50th = 33.57%, 75th = 45.00%, W.A. = 30.66%
- N = 43
Retail - SME:
- PD: 25th = 0.13%, 50th = 1.79%, 75th = 3.31%, W.A. = 2.61%
- LGD: 25th = 31.56%, 50th = 40.71%, 75th = 93.07%, W.A. = 13.28%
- N = 55
Retail - Secured on real estate property:
- PD: 25th = 0.20%, 50th = 3.28%, 75th = 4.15%, W.A. = 1.22%
- LGD: 25th = 34.81%, 50th = 62.54%, 75th = 98.20%, W.A. = 77.22%
- N = 45
Retail - Qualifying Revolving:
- PD: 25th = 0.46%, 50th = 1.43%, 75th = 2.97%, W.A. = 1.27%
- LGD: 25th = 31.77%, 50th = 46.14%, 75th = 54.68%, W.A. = 26.28%
- N = 41
Retail - Other Retail:
- PD: 25th = 0.49%, 50th = 1.89%, 75th = 3.12%, W.A. = 1.80%
- LGD: 25th = 14.45%, 50th = 24.25%, 75th = 35.64%, W.A. = 30.07%
- N = 58

Czech Republic

Corporates:
- PD: 25th = 0.44%, 50th = 0.52%, 75th = 0.75%, W.A. = 0.60%
- LGD: 25th = 20.94%, 50th = 42.68%, 75th = 50.03%, W.A. = 35.07%
- N = 49
Retail - SME:
- PD: 25th = 0.79%, 50th = 1.06%, 75th = 2.03%, W.A. = 1.12%
- LGD: 25th = 24.48%, 50th = 58.25%, 75th = 62.03%, W.A. = 43.61%
- N = 26
Retail - Secured on real estate property:
- PD: 25th = 0.37%, 50th = 0.45%, 75th = 0.56%, W.A. = 0.47%
- LGD: 25th = 13.21%, 50th = 18.99%, 75th = 21.75%, W.A. = 17.46%
- N = 46
Retail - Qualifying Revolving:
- PD: 25th = 0.73%, 50th = 0.74%, 75th = 9.49%, W.A. = 4.11%
- LGD: 25th = 30.00%, 50th = 39.46%, 75th = 50.26%, W.A. = 49.59%
- N = 24
Retail - Other Retail:
- PD: 25th = 0.49%, 50th = 1.89%, 75th = 3.12%, W.A. = 1.80%
- LGD: 25th = 14.45%, 50th = 24.25%, 75th = 35.64%, W.A. = 30.07%
- N = 58

Denmark

Corporates:
- PD: 25th = 0.32%, 50th = 0.73%, 75th = 2.06%, W.A. = 0.65%
- LGD: 25th = 15.06%, 50th = 28.60%, 75th = 31.39%, W.A. = 20.79%
- N = 58
Retail - SME:
- PD: 25th = 0.48%, 50th = 0.85%, 75th = 1.04%, W.A. = 0.71%
- LGD: 25th = 21.89%, 50th = 29.04%, 75th = 34.28%, W.A. = 26.55%
- N = 33
Retail:
- PD: 25th = 0.23%, 50th = 0.78%, 75th = 2.79%, W.A. = 0.67%
- LGD: 25th = 7.90%, 50th = 20.96%, 75th = 39.61%, W.A. = 16.55%
- N = 60
Retail - Secured on real estate property:
- PD: 25th = 0.56%, 50th = 0.83%, 75th = 4.37%, W.A. = 0.64%
- LGD: 25th = 4.26%, 50th = 8.40%, 75th = 13.34%, W.A. = 13.43%
- N = 51
Retail - Qualifying Revolving:
- PD: 25th = 1.23%, 50th = 2.65%, 75th = 3.41%, W.A. = 1.18%
- LGD: 25th = 34.02%, 50th = 46.92%, 75th = 55.00%, W.A. = 41.87%
- N = 22
Retail - Other Retail:
- PD: 25th = 0.65%, 50th = 1.36%, 75th = 2.79%, W.A. = 0.94%
- LGD: 25th = 13.41%, 50th = 39.61%, 75th = 52.61%, W.A. = 35.15%
- N = 48

Key Observations

PD (Probability of Default):
- The lowest PDs are observed in countries like Czech Republic and Denmark, with Corporates typically having lower PDs than Retail.
- Retail - Other Retail in Croatia and Bulgaria show higher PDs, indicating higher credit risk in these categories.
- Corporates in Greece have the highest PDs, with a 75th percentile of 25.76%.
LGD (Loss Given Default):
- LGD values are generally higher for Retail than for Corporates.
- Retail - Secured on real estate property in Cyprus and Croatia show extremely high LGD, up to 98.20% in some cases.
- Retail - Qualifying Revolving in Czech Republic and Denmark show very high LGD, with 75th percentile of 55.00% and 55.00%, respectively.
Weighted Averages:
- Weighted average PD is often closer to the 50th percentile, suggesting a relatively even distribution of default probabilities.
- Weighted average LGD tends to be higher than the 50th percentile, indicating that the higher risk values have a more significant impact on the overall average.
Data Coverage:
- The document includes only countries with more than 3 banks reporting.
- The number of observations (N) varies by country and category, affecting the reliability and representativeness of the statistics.

Conclusion

The risk parameters (PD and LGD) vary significantly across countries and counterparty types. Retail segments, especially Secured on real estate property and Qualifying Revolving, tend to exhibit higher risk levels compared to Corporates. Countries like Greece, Croatia, and Bulgaria show notably higher risk metrics, which may reflect economic conditions or regulatory environments. The data provides a detailed view of credit risk exposure for IRB banks, which can be used for risk assessment and management purposes.

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