Term Structure and Provision Rate Assignment Rules

Term Structure and Provision Rate Assignment Rules are created at the Modelling Set and Economic Scenario Rule level. The user can assign the Term Rule (PD, LGD, CCF) and Provision Matrix Rule at the product and Customer type level. This assignment can be further extended based on the additional dimensions added in the modelling set definition.

Term structure assignment is further supported by Interpolation and Extrapolation methods. Users can assign interpolation and extrapolation methods like Term Structure Assignment.

Supported Interpolation and Extrapolation methods:

• PD:
  • Interpolation Methods:
    • Arithmetic
    • Geometric
    • Poisson
  • Extrapolation Methods:
    • Arithmetic
    • Geometric
    • Poisson
    • Default Method (Default word is added with the above methods for the differentiation purpose)
• LGD:
  • Interpolation Methods:
    • Linear
    • Default
  • Extrapolation Methods:
    • Default
• CCF:
  • Interpolation Methods:
    • Linear
    • Default
  • Extrapolation Methods:
    • Default