Internal Ratings-Based Approach (Credit Risk)

Internal Ratings-Based Approach (Credit Risk)

Jesse Russell Ronald Cohn

     

бумажная книга



ISBN: 978-5-5081-3415-0

High Quality Content by WIKIPEDIA articles! Under the Basel II guidelines, banks are allowed to use their own estimated risk parameters for the purpose of calculating regulatory capital. This is known as the Internal Ratings-Based (IRB) Approach to capital requirements for credit risk. Only banks meeting certain minimum conditions, disclosure requirements and approval from their national supervisor are allowed to use this approach in estimating capital for various exposures.