Modeles de Probabilite de Defaut (PD)
Comparaison multi-methodes
Chargement...
Loss Given Default (LGD)
Analyse workout + downturn Basel
Chargement...
Exposure at Default (EAD)
Facteurs de conversion credit (CCF)
CCF par type de facilite (Basel III)
| Type | CCF | EAD (50/100) |
|---|---|---|
| Pret a terme | 100% | 100 |
| Credit revolving | 75% | 87.5 |
| Carte credit | 75% | 87.5 |
| LC standby | 50% | 75 |
| LC commerciale | 20% | 60 |
| Garantie | 50% | 75 |
| Engagement < 1an | 20% | 60 |
| Engagement > 1an | 50% | 75 |
| Annulable | 0% | 50 |
Matrice de Migration
Probabilites de transition annuelles (S&P/Moody's)
Chargement...