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Internal Ratings-Based Approach
'''Internal Ratings-Based Approach'''

101 bytes (10 words) - 12:31, 26 March 2021

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Default Definition
...oth defaulted and non-defaulted exposures. In the case of the Standardised Approach the definition of default is the basis for the assignment of exposures to t ...viding reasonable assurance that they do not undermine the validity of the approach for the purposes of risk differentiation and risk quantification.

8 KB (1,109 words) - 16:07, 22 February 2021
Probability of Default
In the [[Internal Ratings-Based Approach]] the probability of default of a counterparty is estimated over a one year ...paradigms for the estimation of probability of default with no single best approach for all contexts

4 KB (532 words) - 18:59, 4 September 2020
Basel II Advanced IRB Capital Model
...of '''''advanced [[Internal_Ratings-Based_Approach|internal ratings-based approach]]''''' and it refers to a set of credit risk measurement techniques propose ...cal model to quantify required capital for credit risk. Banks can use this approach only subject to approval from their local regulators.

7 KB (1,023 words) - 12:30, 26 March 2021
Internal Ratings-Based Approach
'''Internal Ratings-Based Approach'''

101 bytes (10 words) - 12:31, 26 March 2021
IFRS 9 Modeling Resources
| D401 - Regulatory treatment of accounting provisions - interim approach and transitional arrangements | Sparse Structural Approach for Rating Transitions

24 KB (3,113 words) - 16:52, 1 September 2020
Credit Risk Management
...ocess used by the institution, for the institutions using the standardised approach;

7 KB (914 words) - 16:31, 3 June 2020
IFRS 9
...requirements can adjust their models, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models f

8 KB (1,123 words) - 13:25, 25 October 2019
Financial Guarantee
...rantee by applying the risk weight of the guarantor under the standardised approach to the covered part of the exposure, if no own estimates of LGD and CCFs ar ...ld verify that obligors guaranteed by a third party under the standardised approach do not carry a significantly different level of risk from those in the same

6 KB (895 words) - 14:41, 6 September 2020
Scenario Analysis
* The approach should draw on the knowledge of experienced business managers and risk mana ...vironmental factors on the credit risk of its loans using a stress testing approach, a form of scenario analysis.

3 KB (372 words) - 16:16, 11 May 2023
Current Expected Credit Loss
...requirements can adjust their models, banks solely using the standardised approach (SA) to determining their capital requirements may need to develop models f

4 KB (582 words) - 11:15, 15 November 2018
Default Rate
pool or rating model, rating system or approach to calculation of capital requirements within the observation period or whe ...se an appropriate approach between an approach based on overlapping and an approach based on non-overlapping one-year time windows, to calculate the observed a

11 KB (1,612 words) - 14:40, 6 September 2020
Margin of Conservatism
...C) is a term used primarily in the context of the [[Internal Ratings-Based Approach]] option of the [[Basel III]] accord for the calculation of [[Pillar I]] ca ** potential bias stemming from the choice of the approach to calculating the average of observed one year default rates;

9 KB (1,337 words) - 00:44, 14 November 2019
IFRS 9 versus IRB Models
! Aspect !! Internal Ratings-Based Model !! IFRS 9 Model || Models are generally developed using a hybrid approach (considering both cyclical and non-cyclical variables) which determines the

2 KB (250 words) - 14:14, 29 March 2021
EBA NPL Loan Table
...counterparty became a customer. In case several ratings are assigned, the approach described in Art. 138 of the CRR applies. ...ing at origination was obtained. In case several ratings are assigned, the approach described in Art. 138 of the CRR applies.

21 KB (3,181 words) - 14:58, 1 October 2018
EBA NPL.Counterparty.External Credit Rating at Origination
...e if there are multiple ratings. In case several ratings are assigned, the approach described in Art 138 of the CRR applies.

1 KB (208 words) - 19:53, 8 February 2021
EBA NPL.Loan.External Credit Rating at Origination
...counterparty became a customer. In case several ratings are assigned, the approach described in Art. 138 of the CRR applies.

1 KB (215 words) - 19:57, 8 February 2021
EBA NPL.Loan.Source of External Credit Rating at Origination
...ing at origination was obtained. In case several ratings are assigned, the approach described in Art. 138 of the CRR applies.

1 KB (201 words) - 19:56, 8 February 2021
EBA NPL.Loan.Current External Credit Rating
...n at NPL Portfolio Cut-Off Date. In case several ratings are assigned, the approach described in Art. 138 of the CRR applies.

1 KB (190 words) - 19:55, 8 February 2021
Credit Rating Scale
...l ratings of any common obligors. Biases or inconsistencies in the mapping approach or underlying data must be avoided. To comply with these requirements, inst

6 KB (932 words) - 16:06, 22 February 2021
Credit Quality Step
* Calculation of capital requirements under the standardized approach

3 KB (502 words) - 19:39, 8 February 2021