2018 Registration document and annual fi nancial report - BNP PARIBAS 349
5RISKS AND CAPITAL ADEQUACY PILLAR 3
5
Credit risk
Modelled parameter Portfolio
Number of models Model and methodology
Number of years default/loss data Main asset class
LGD Sovereigns 1 Qualitative > 10 years
Central governments and central banks
Banks 1 Quantitative calibrated on internal data > 10 years Institutions
Insurance 1 Qualitative > 10 years Corporate other
Regulated funds & Agency arrangements 1 Qualitative > 10 years Corporate other
Large corporates 2 Quantitative calibrated on internal data > 10 years Corporate other
Real Estate non retail in France 1 Qualitative Asset valuation haircut > 10 years Corporate other
Project fi nancing 1 Quantitative calibrated on internal data > 10 years Corporate specialised l ending
Energy and commodity fi nancing 1
Quantitative calibrated on internal data > 10 years Corporate specialised l ending
Non Retail Rating Global Policy 1 Qualitative > 10 years Corporate other
French Retail Banking SME Corporate 1
Quantitative calibrated on internal data > 10 years Corporate SME
French Retail Banking Professionals & Entrepreneurs 5
Quantitative calibrated on internal data > 10 years Retail other SME
French Retail Banking Private life (Individuals & Professionnals) 8
Quantitative calibrated on internal data > 10 years
Retail other SME/qualifying Revolving/secured by real estate non-SME
Personal Finance France 1 Quantitative calibrated on internal data > 10 years Retail other non-SME
Belgian Retail Banking Professionnals & SME 1
Quantitative calibrated on internal data > 10 years
Retail other SME/secured by real estate non-SME
Belgian Retail Banking Individuals 2
Quantitative calibrated on internal data > 10 years
Retail Secured by real estate non-SME
Banca Nazionale del Lavoro Small Corporate 1
Quantitative calibrated on internal data > 10 years Corporate SME
Banca Nazionale del Lavoro Retail Individuals 2
Quantitative calibrated on internal data 10 years Retail other non-SME
Banca Nazionale del Lavoro Professionals and Retail SME 2
Quantitative calibrated on internal data 10 years Retail other SME
