CA-1.2 CA-1.2 Measuring credit risks
CA-1.2.1
In measuring credit risk for the purpose of
capital adequacy , banks are required to apply a simple risk-weighted approach through which claims of different categories of counterparties are assigned risk weights according to broad categories of relative riskiness.CA-1.2.2
The framework of weights consists of four weights — 0%, 20%, 50% and 100% for on- and off-balance-sheet items, which based on a broad-brush judgment, are applied to the different types of assets and off-balance-sheet
exposures (with the exception of derivative transactions) within the banking book.CA-1.2.3
The resultant different weighted assets and off-balance-sheet
exposures are then added together to calculate the total credit-risk-weighted assets of the bank.
