CA-5.2.29
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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For each of the asset classes covered under the IRB framework, there are three key elements:
(a) Risk components — estimates of risk parameters provided by banks some of which are CBB's estimates.
(b) Risk-weight functions — the means by which risk components are transformed into risk-weighted assets and therefore capital requirements.
(c) Minimum requirements — the minimum standards that must be met in order for a bank to use the IRB approach for a given asset class.
Apr 08