satellite model calculates the impact of the EBA baseline and adverse scenarios on a single corporate level and then aggregates across industry and country level:
- Selection of corporate reference portfolio: Corporate/FI data is selected and segmented along turnover size categories, industry classifications and countries
- Calculation of individual corporate balance sheet & P/L projections: CDX corporate/FI financial data projection starts on the last available financials. 2016-2018 financials are based on EBA baseline and adverse scenario definitions.
- Calculation of projected PDs per corporate: Projected Balance sheet & P/L data are transformed into PDs based on an internal corporate PD calculator of QRS or any other (internal) rating model.
- Calculation of PD shifts (multiples) per sub-portfolio: Aggregated PDs are calculated as average of the individual projected corporate/FI-PDs