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• BCBS D300
  ...standard were satisfied. One component - the Internal Ratings-based (IRB) approach for credit risk - was assessed "materially non-compliant" (one notch above
  3 KB (475 words) - 11:47, 26 March 2021
• BCBS D303
  ...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
• BCBS D307
  ''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
• BCBS D347
  ''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
• BCBS D362
  ...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
• BCBS D386
  ''Regulatory treatment ofaccounting provisions - interim approach andtransitional arrangements - consultative document''. ...regulatory treatment of provisions under the standardised and the internal ratings-based approaches. In addition, the Committee is seeking comments on whether any t
  3 KB (410 words) - 11:48, 26 March 2021
• BCBS D511
  ...e proposal, the final rule allow banks to apply the external ratings-based approach to non-performing loans securitisation exposures, without the 100% risk wei
  2 KB (319 words) - 11:49, 26 March 2021
• BCBS NL4
  ...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
• BCBS WP11
  ...isation in October 2001. The aim was to issue for consultation an internal ratings-based (IRB) treatment for securitisations together with treatments of synthetic s ...approach for the relevant asset class. This treatment differs from the IRB approach for the relevant asset class in that it is not based on banks' estimates of
  5 KB (767 words) - 11:50, 26 March 2021
• BCBS WP14
  ...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
• BCBS WP15
  <p>The model framework for the internal ratings-based (IRB) approach of the Basel II Framework assumes that (a) there is only a single source of ...ant deviations of economic capital from Pillar1 capital charges in the IRB approach; and (iii) to examine and further develop fit-for-purpose tools that can be
  3 KB (520 words) - 11:50, 26 March 2021
• BCBS WP22
  ''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
• BCBS WP23
  ''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
• BCBS WP5
  <p>The Internal Ratings Based (IRB) approach as outlined in the January 2001 consultative package (CP2) entails that reg ...de and, for the retail portfolio, also of future margin income. Under this approach the capital requirements for UL + EL would be allowed to be met by the sum
  3 KB (383 words) - 11:51, 26 March 2021
• BCBS WP9
  ''Internal Ratings-Based Approach to Specialised Lending Exposures''. ...January consultative package (CP), an underlying tenet of the proposed IRB approach for corporate exposures is that the source of repayment of the loan is base
  4 KB (699 words) - 11:51, 26 March 2021
• ESG Risk Integration Challenges
  ...ulting in higher risk weights of affected exposures under the standardised approach. In addition, when ESG risks impair the valuation of collateral, this can i
  5 KB (730 words) - 16:26, 11 August 2021

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