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3412019 Universal registration document and annual financial report - BNP PARIBAS

5risks and CaPital adequaCy Pillar 3

5

Credit risk

The breakdown of the main models used by the Group, their characteristics and main exposures covered is presented below.

➤ TABLE 31: MAIN MODELS: PD, LGD AND CCF/EAD

Modelled parameter Portfolio

Number of models Model and methodology

Number of years default/loss data Main asset class

PD Sovereigns 1 Qualitative > 10 years

Central governments and central banks

Banks 1 Quantitative + expert opinion > 10 years Institutions

Insurance 1 Quantitative + expert opinion > 10 years Corporate other

Regulated funds & Agency arrangements 1 Qualitative > 10 years Corporate other

Large corporates 2 Quantitative + expert opinion > 10 years Corporate other

Real Estate non-retail in France 1 Qualitative > 10 years Corporate other

Project financing 1 Qualitative > 10 years Corporate specialised lending

Energy and commodity financing 1

Quantitative + expert opinion > 10 years Corporate specialised lending

Non Retail Rating Global Policy 2 Qualitative > 10 years Corporate other

French Retail Banking SME Corporate 1

Quantitative + expert opinion > 10 years Corporate SME

French Retail Banking Professionals & Entrepreneurs 11 Quantitative > 10 years Retail other SME

French Retail Banking Private life (Individuals & Professionnals) 8 Quantitative > 10 years

Retail other non-SME/qualifying Revolving/secured by real estate non-SME

Personal Finance France 1 Quantitative > 10 years Retail other non-SME

Belgian Retail Banking SME 3 Quantitative + expert opinion > 10 years

Retail other/secured by real estate SME

Belgian Retail Banking Professionals 1 Quantitative > 10 years

Retail other SME/secured by real estate SME

Belgian Retail Banking Individuals 1 Quantitative > 10 years

Retail Secured by real estate non- SME

Banca Nazionale del Lavoro small Corporate 2

Quantitative logistic regression > 10 years Corporate SME

Banca Nazionale del Lavoro Retail individuals 7

Quantitative logistic regression > 10 years Retail other non-SME

Banca Nazionale del Lavoro Professionals and Retail SME 7

Quantitative logistic regression > 10 years Retail other SME

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Powered by Fluidbook