Unresolved Defaults

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LGD & EaD platform

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 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

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Data & Methodology, Credit, ESG and Climate Risk