Risk Factors Assignment Rules

The Risk Factors Assignment rule is created at the Modelling Set and Economic Scenario Rule level. The user can assign the Term Rule (PD, LGD, CCF), Provision Matrix Rule, and Roll Rate 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.

PD, LGD, CCF term structures are further supported by Interpolation and Extrapolation methods. Users can assign interpolation and extrapolation methods through the drop-down.

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