CA-5.8 Minimum requirements for IRB approach
- CA-5.8.1
- 1. Composition of Minimum Requirements
- 2. Compliance with Minimum Requirements
- 3. Rating System Design
- 4. Risk Rating System Operations
- 5. Corporate Governance and Oversight
- 6. Use of Internal Ratings
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7. Risk Quantification
- (i) Overall Requirements for Estimation
- (ii) Definition of Default
- (iii) Re-ageing
- (iv) Treatment of Overdrafts
- (v) Definition of Loss for all Asset Classes
- (vi) Requirements Specific to PD Estimation
- (vii) Requirements Specific to Own-LGD Estimates
- (viii) Requirements Specific to Own-EAD Estimates
- (ix) Minimum Requirements for Assessing Effect of Guarantees and Credit Derivatives
- (x) Requirements Specific to Estimating PD and LGD (or EL) for Qualifying Purchased Receivables
- 8. Validation of Internal Estimates
- 9. CBB's LGD and EAD estimates
- 10. Requirements for Recognition of Leasing
- 11. Calculation of Capital Charges for Equity Exposures
- 12. Disclosure Requirements