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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
External Credit Assessment Institution
...ents. ARC Ratings takes advantage of its local expertise and network-based approach to best serve issuers and investors by assigning stable credit ratings that

14 KB (2,064 words) - 22:31, 27 September 2021
Shadow Rating
...internal models - Credit Risk, Sep 2018</ref> (SRM) is an internal rating approach that selects and weighs the risk drivers to be used for risk differentiatio

4 KB (539 words) - 19:21, 8 February 2021
SME Credit Risk Literature
| SMEs Credit Risk Modelling for Internal Rating Based Approach in Banking Implementation of Basel II Requirement

8 KB (1,007 words) - 13:00, 7 September 2020
Risk Management Wisdom
<li>Scenario analysis is a basic building block for a probabilistic approach to risk

3 KB (490 words) - 14:48, 24 April 2024
Synthetic Securitisation
...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
Sustainable Real Estate
...sets. Against this background, the TEG has decided to adopt a transitional approach based on the initial decision to use energy metrics, which will be extended

8 KB (1,165 words) - 12:14, 4 October 2023
BCBS 105
...announced in October 2003 plans to revise the internal ratings-based (IRB) approach to securitisation exposures. ...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
BCBS 107
...the context of its domestic banking system when developing a timetable and approach to implementation. ...(minimum capital requirements, supervisory review, and market discipline) approach on which the revised Framework is based. More generally, they have expresse

20 KB (3,034 words) - 11:39, 26 March 2021
BCBS 111
...ition, the Revised Framework is intended to promote a more forward-looking approach to capital supervision, one that encourages banks to identify the risks the <li>the short-term maturity adjustment, in the internal ratings-based approach;</li>

7 KB (1,008 words) - 11:43, 26 March 2021
BCBS 116
...ition, the Revised Framework is intended to promote a more forward-looking approach to capital supervision, one that encourages banks to identify the risks the <li>the short-term maturity adjustment, in the internal ratings-based approach;</li>

6 KB (932 words) - 11:43, 26 March 2021
BCBS 118
...the context of its domestic banking system when developing a timetable and approach to implementation. ...(minimum capital requirements, supervisory review, and market discipline) approach on which the revised Framework is based. More generally, they have expresse

19 KB (2,931 words) - 12:29, 26 March 2021
BCBS 121
...the Basel Core Principles, it is relevant to all banks irrespective of the approach they use in the calculation of credit risk regulatory capital requirements

7 KB (1,077 words) - 11:43, 26 March 2021
BCBS 236
...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
BCBS 257
...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
BCBS 266
...Basel framework's Standardised Approach or an Internal Ratings-Based (IRB) approach for credit risk. ...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
BCBS 269
...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
BCBS 279
''The standardised approach for measuring counterparty credit risk exposures''. ...traded derivatives, and long settlement transactions. The new standardised approach (SA-CCR) replaces both the Current Exposure Method (CEM) and the Standardis

5 KB (708 words) - 12:42, 31 March 2021
BCBS 50
...a modified version of the existing Accord should remain the "standardised" approach, but that for some sophisticated banks use of internal credit ratings and,

2 KB (322 words) - 11:46, 26 March 2021
BCBS 66
...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
BCBS 90
...ings will be necessary for banks to qualify for the internal ratings-based approach in the new Accord. In this regard, the large improvement in the disclosure

7 KB (1,011 words) - 11:46, 26 March 2021
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''. 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''. The second consultative document on Revisions to the Standardised Approach for credit risk 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. * 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
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.

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
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