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Unresolved Defaults

Topics:
LGD & EaD platform
Description:
In 2021, the Unresolved LGD projection methodology wasmonitored and backtested as of H2/2020 data, with oneyear of additional data compared to the initial developmentsample. The monitoring metrics are structured alongregulators’ dimensions such as EBA Regulatory TechnicalStandards 2016/03 and EBA Guidelines 2017/16 as wellas SR Letter 11-7 “Supervisory guidance on model riskmanagement