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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,
2
26.04.2024
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
4
29.02.2024
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
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
use the IRB approach. In addition, meth-
ods and models of three SICIs were assessed. These SICIs had already started us-
ing the IRB approach