Minimum PD under Basel II retail asset?

Question

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%.

But Google searches return nothing and I can't seem to find any references to it in the accord document?

Is this true and where is it mentioned in the accord?

$\begingroup$ what does PD mean ? $\endgroup$
– Probilitator
Commented Mar 14, 2014 at 8:37 — Probilitator, Commented Mar 14, 2014 at 8:37
$\begingroup$ @Probilitator: I would guess "probability of default". $\endgroup$
– Joshua Ulrich
Commented Mar 23, 2014 at 14:22 — Joshua Ulrich, Commented Mar 23, 2014 at 14:22

jaamor · Accepted Answer · 2016-05-13 19:55:26Z

2

For corporate and bank exposures, the PD is the greater of the one-year PD associated with the internal borrower grade to which that exposure is assigned, or 0.03%.

So it is 0.03%

answered May 13, 2016 at 19:55

jaamor

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