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into early warning systems Commodity Cycles and Financial Instability in Emerging Economies IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights

is behind the model by Vasicek (1987, 2002) in the internal ratings-based (IRB) approach. The average (mathematical expectation) of the distribution of loss shares is

risk underestimation by the IRB approach. Therefore, macroprudential add-ons are of use to offset such IRB limitations. Keywords: Basel II, IRB, correlated defaults, asset correlation,

Markets Review, 100910 (2022) Penikas, H. IRB Asset and Default Correlation: Rationale for the Macroprudential Mark-Ups to the IRB Risk-Weights Risk Management, 25(1), 1-27

liquidity, operational, etc.) supervision, including credit risk assessment using internal ratings-based approaches (IRB), implementation of short-term liquidity ratio (Liquidity Coverage Ratio, LCR), analysis of financial

Share capital* -0.3 Other changes in equity 0.3 Credit risks (IRB approach) -0.5 Other credit risks -1.1 Operational risk 0.0

of 1 April 2023 Share capital* Other changes in equity Credit risks (IRB approach) Other credit risks Operational risk Market risk Other risks N1.0

II IRB framework (BCBS, 2001, p. 36, par. 172); • 99.9%, the finally accepted confidence level for the credit risk capital requirements within the IRB

61–80. 2022. 4. Penikas H. IRB Asset and Default Correlation: Rationale for the macroprudential mark-ups to the IRB risk-weights, Risk Management. 25 (1). 1

деятельности банка (SIZE, LIQ, CAP, DEP) и характеристики банков (SIFI, GOV, FOR, IRB, SANC, noSWIFT, LicUniv, retail). Они подробно описаны в табл. 27; macrot — контрольные