PRA publishes CP21/19 and CP22/19

Prudential Regulation Authority publishes CP21/19 and CP22/19 18 September 2019 Credit risk: Probability of Default and Loss Given Default estimation In this Consultation Paper (CP), the Prudential Regulation Authority (PRA) sets out its proposed approach to implementing the European Banking Authority’s (EBA’s) recent regulatory products relating to Probability of Default (PD) estimation, Loss Given Default (LGD) estimation and the treatment of defaulted exposures in the Internal Ratings Based (IRB) approach to credit risk. Read more Solvency II: Prudent Person Principle In this consultation paper (CP), the Prudential Regulation Authority (PRA) sets out its proposed expectations for investment by firms in accordance with the Prudent Person Principle (PPP) as set out in Chapters 2 to 5 of the Investments Part of the PRA Rulebook (which transpose Article 132 of the Solvency II Directive (2009/138/EC) (‘Solvency II’)). Read more