Mevzuat » ANNEX VII - INTERNAL RATINGS BASED APPROACH
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- ANNEX VII - INTERNAL RATINGS BASED APPROACH
- PART 1 - Risk weighted exposure amounts and expected loss amounts
- 1. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT RISK
- 1.1. Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks.
- 1.2. Risk weighted exposure amounts for retail exposures
- 1.3. Risk weighted exposure amounts for equity exposures
- 1.4. Risk weighted exposure amounts for other non credit-obligation assets
- 2. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR DILUTION RISK OF PURCHASED RECEIVABLES
- 3. CALCULATION OF EXPECTED LOSS AMOUNTS
- 4. TREATMENT OF EXPECTED LOSS AMOUNTS
- 1. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT RISK
- PART 2 - PD, LGD and Maturity
- 1. EXPOSURES TO CORPORATES, INSTITUTIONS AND CENTRAL GOVERNMENTS AND CENTRAL BANKS
- 2. RETAIL EXPOSURES
- 3. EQUITY EXPOSURES SUBJECT TO PD/LGD METHOD
- PART 3 - Exposure value
- PART 4 - Minimum requirements for IRB Approach
- 1. RATING SYSTEMS
- 1.1. Structure of rating systems
- 1.2. Assignment to grades or pools
- 1.3. Assignment of exposures
- 1.4. Integrity of assignment process
- 1.5. Use of models
- 1.6. Documentation of rating systems
- 1.7. Data maintenance
- 1.8. Stress tests used in assessment of capital adequacy
- 2. RISK QUANTIFICATION
- 2.1. Definition of default
- 2.2. Overall requirements for estimation
- 2.2.1. Requirements specific to PD estimation
- 2.2.2. Requirements specific to own-LGD estimates
- 2.2.3. Requirements specific to own-conversion factor estimates
- 2.2.4. Minimum requirements for assessing the effect of guarantees and credit derivatives
- 2.2.5. Minimum requirements for purchased receivables
- 3. VALIDATION OF INTERNAL ESTIMATES
- 4. CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR EQUITY EXPOSURES UNDER THE INTERNAL MODELS APPROACH
- 5. CORPORATE GOVERNANCE AND OVERSIGHT
- 1. RATING SYSTEMS