Basel Data Requirements

Data representing Exposure At Default (EAD), Probability of Default (PD) and Loss Given Default (LGD) calculations are needed in order to produce the Basel reports.

For transactions and facilities that are individually sanctioned and underwritten, data will usually be captured on an individual asset basis while other data (using a credit score process) will be captured in summarised segments.

In order to satisfy existing and anticipated reporting requirements, further transaction-level might need to be captured and stored in modelling software solutions such as SAS or other Risk Management Modelling Software tools.

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Basel II Glossary
section page.

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