Rating Models and Validation - Oesterreichische Nationalbank

Rating Models and Validation
accounting, it is possible to calculate costs down to the level of individual transactions.
In this way, for example, the costs of collateral realization can be
assigned to individual transactions by way of the transaction-specific dedication
of collateral. The costs of realizing customer-specific collateral can be allocated
to the customerÕs transactions arithmetically or using a specific allocation key.
Retail Information Carriers
Unless the loss components in retail transactions are depicted as they are in the
non-retail segment, the collective banking book account for the pool to which
the transactions are assigned can serve as the main source of information. The
segmentation of the pool can go beyond the minimum segmentation required by
the draft EU directive and provide for a more detailed classification according to
various criteria, including additional product types, main collateral types,
degrees of collateralization or other criteria. For each of the loss parameters
listed below, it is advisable to define a separate collective account for each pool.
Chart 86: Assignment of Information Carriers to Loss Parameters (Retail)
7.3.2 Customer Types
As customer types are required in order to calculate losses due to bankruptcy or
composition proceedings, it is advisable to define further subdivisions for these
types because the nature and scope of bankruptcy proceedings depend heavily
on the customer type. The segmentation shown below is essentially based on
the customer segmentation described for PD estimation earlier.
On the basis of this segmentation, it is already possible to derive the most
essential information for further estimates of bankruptcy proceeds. In the case
of corporate customers, the industry in which they operate provides important
additional information with which the bank can estimate the value content and
liquidity of assets, for example. Beyond the information mentioned above, lenders
can only gain additional insight through a more detailed analysis of defaulted
customers similar to the analysis performed in order to evaluate a company
when determining its liquidation value.
146 Guidelines on Credit Risk Management