| layout | title |
|---|---|
| schema | risk_rating |
Risk Extended Rating
Extended risk schema containing all jurisdiction-specific extensions.
Properties
| Name | Description | Type | Enum |
|---|---|---|---|
| id | Unique identifier for the risk rating | string | - |
| date | The observation or value date for the data in this object. Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. | string | - |
| description | A description of the internal risk rating. | string | - |
| lgd_max | Maximum Loss Given Default, representing the highest expected loss as a percentage of exposure at default. | number | - |
| lgd_min | Minimum Loss Given Default, representing the lowest expected loss as a percentage of exposure at default. | number | - |
| name | The name or classification of the risk rating, used for reporting and segmentation. | string | - |
| pd_max | Maximum Probability of Default | number | - |
| pd_min | Minimum Probability of Default | number | - |
| risk_rating_system_id | Reference to the risk rating system that this Internal Risk Rating belongs to | string | - |
| source | The source where this data originated. | string | - |
| version_id | The version identifier of the data such as the firm’s internal batch identifier. | string | - |
| pd_calc_method | The calculation method used to determine the associated probabilities of default. Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information. | string | hybrid, point_in_time, through_cycle, |
| rating | The internal obligor rating that addresses the probability of default of the loan. Suppose the credit is entirely rated AAA. The bank would supply this value: AAA:1 Suppose a different case where half the credit’s dollar value has a rating A and the other has C. The bank would supply: A:0.5;C:0.5 All the decimal amounts must sum to 1. Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information. | string | - |