Rating Models and Validation - Oesterreichische Nationalbank

— Collateral: Collateral value, collateral master data (collateral type, collateral
provider, etc.),
— Transactions: Book value, assigned collateral, transaction master data (product
type, interest rate, repayment structure, etc.).
The table below shows how information carriers are assigned to loss parameters.
Chart 85: Assignment of Information Carriers to Loss Parameters (Non-Retail)
For the purpose of estimating the recoveries from bankruptcy, it is necessary
to use customer-specific data. Based on the customer type and country of domicile,
the bank can estimate whether bankruptcy proceedings will bring in any
relevant payments, for example. The customerÕs industry and creditworthiness
may also enable conclusions as to the type of assets, their ability to be realized,
and the realization period. Collateral can also provide information on whether
realization in bankruptcy proceedings is of material relevance to the bank.
For the purpose of estimating the proceeds from collateral realization, collateral
data can provide information as to the relevant means of realization, the
realization period in the corresponding markets, as well as the volatility and liquidity
of those markets.
Calculating interest loss requires transaction-specific information, such as
the agreed interest rate. If more precise calculations are required, it is also possible
to use the target costs calculated in contribution margin analysis. Moreover,
market interest rates and bank-specific interest claims can also be included
in these calculations.
It is possible to calculate processing costs and general expenses for transaction
types as well as customer types according to the type and scope of cost
accounting. Depending on the level of detail in cost center and/or cost unit
Rating Models and Validation
Guidelines on Credit Risk Management 145