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- '''Internal Ratings-Based Approach''' ...101 bytes (10 words) - 12:31, 26 March 2021
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- '''Internal Ratings-Based Approach''' ...101 bytes (10 words) - 12:31, 26 March 2021
- ''The Proposed Revised Ratings-Based Approach''. ...mate tranche capital charges generated by the Modified Supervisory Formula Approach (MSFA) under the assumption that an external credit rating is a proxy for t ...3 KB (359 words) - 11:50, 26 March 2021
- ...and supervisory approval to do so, they may use an internal ratings-based approach to determine the capital requirement based on the risk of the underlying po ...e used for a particular securitisation exposure, an external ratings-based approach may be used (assuming that the use of ratings is permitted within the relev ...4 KB (630 words) - 14:25, 9 April 2021
- ...exibility that is given to either jurisdictions or to banks to opt for one approach or the other.</li> ...ntains a revised ratings-based approach and a modified supervisory formula approach, both of which are intended to create a more risk-sensitive and prudent cal ...4 KB (561 words) - 11:45, 26 March 2021
- ! 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
- ...anges in (i)the hierarchy of approaches; (ii)the risk drivers used in each approach; and (iii)the amount of regulatory capital banks must hold for exposures to ...atings are permitted to be used in the jurisdiction - and the Standardised Approach. Additional risk drivers, notably an explicit adjustment to take account of ...3 KB (490 words) - 11:47, 26 March 2021
- ...internal ratings-based approach and the foundation internal ratings-based approach.</p> * Keywords: [[Floors]], [[IRB]], [[Internal Ratings Based Approach]], [[Constraints]], [[Credit Risk]] ...3 KB (465 words) - 11:48, 26 March 2021
- ...Basel framework's Standardised Approach or an Internal Ratings-Based (IRB) approach for credit risk.</p> ...a full look-through approach may not always be feasible and that a staged approach based on different degrees of granularity of the look-through is warranted. ...4 KB (588 words) - 17:56, 29 March 2021
- ...announced in October 2003 plans to revise the internal ratings-based (IRB) approach to securitisation exposures.</p> ...ritisation framework for banks that adopt the internal ratings-based (IRB) approach to credit risk will be re-structured. The Committee is simplifying the secu ...4 KB (614 words) - 11:39, 26 March 2021
- ...institutions; thus, in offering a parallel alternative to the standardised approach based on internal ratings, the Committee hopes that banks will further refi ...of the Models Task Force's recent efforts in developing this evolutionary approach - an assessment of the current state of practice in rating systems and proc ...6 KB (885 words) - 11:46, 26 March 2021
- ''Revisions to the standardised approach for credit risk''. <p>The proposed Revisions to the Standardised Approach for credit risk seek to strengthen the existing regulatory capital standard ...5 KB (715 words) - 11:47, 26 March 2021
- ''Foundations of the Proposed Modified Supervisory Formula Approach''. ..., is intended to render the MSFA more consistent with the Basel's Internal Ratings-Based (IRB) framework for wholesale exposures.</p> ...2 KB (292 words) - 11:50, 26 March 2021
- ...uity investments in funds under the Standardised Approach and the Internal Ratings-Based (IRB) approaches for credit risk and the Committee believes that the existi ...a full look-through approach may not always be feasible and that a staged approach based on different degrees of granularity of the look-through is warranted. ...4 KB (588 words) - 11:45, 26 March 2021
- ''Revisions to the Standardised Approach for credit risk - second consultative document''. <p>The second consultative document on <em>Revisions to the Standardised Approach for credit risk</em> forms part of the Committee's broader review of the ca ...4 KB (572 words) - 11:47, 26 March 2021
- ...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
- ...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
- ...the parameters that serve as inputs into the internal ratings-based (IRB) approach to credit risk. The Basel II Framework that was released in June 2004 requi ...ment continues to bear responsibility for validating the inputs to the IRB approach. Supervisors have responsibility for assessing compliance of banks' validat ...3 KB (538 words) - 11:50, 26 March 2021
- ...rticular large/systemically important banks using [[Internal Ratings-Based Approach]] for calculating [[Basel II Advanced IRB Capital Model | capital requireme ...1 KB (169 words) - 19:11, 11 October 2019
- ...he "revised Framework"). When following the "internal ratings-based" (IRB) approach of Basel II, banking institutions will be allowed to use their own internal ...LGD, EAD and the underlying risk ratings) that serve as inputs to the IRB approach to credit risk. In this context, validation comprises a range of approaches ...4 KB (671 words) - 11:50, 26 March 2021
- ...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
