2018 Registration document and annual fi nancial report - BNP PARIBAS348
5 RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Credit risk
➤ TABLE 30: 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 fi nancing 1 Qualitative > 10 years Corporate specialised l ending
Energy and commodity fi nancing 1
Quantitative + expert opinion > 10 years Corporate specialised l ending
Non Retail Rating Global Policy 1 Qualitative > 10 years Corporate other
French Retail Banking SME Corporate 1
Quantitative + expert opinion > 10 years Corporate SME
French Retail Banking Professionals & Entrepreneurs 10 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 2 Quantitative + expert opinion > 10 years
Retail other/secured by real estate SME
Belgian Retail Banking Professionals 8 Quantitative > 10 years
Retail other SME/secured by real estate SME
Belgian Retail Banking Individuals 3 Quantitative > 10 years
Retail Secured by real estate non-SME
Banca Nazionale del Lavoro SME Corporate 2
Quantitative logistic regression 6 years Corporate SME
Banca Nazionale del Lavoro Individuals 7
Quantitative logistic regression 8 years Retail other non-SME
Banca Nazionale del Lavoro Professionals and Retail SME 7
Quantitative logistic regression 8 years Retail other SME
