Basel Committee on Banking Supervision …

Basel Committeeon Banking SupervisionConsultative DocumentThe InternalRatings-Based ApproachSupporting Documentto the New Basel Capital AccordIssued for comment by 31 May 2001 January 2001 Superseded documentTable of ContentsCHAPTER 1: OVERVIEW AND ORIENTATION OF IRB INTRODUCTION .. OF THE IRB APPROACH .. SCHEMATIC OF IRB APPROACH .. OF 5(i)Probability of Default .. 6(ii)Loss Given Default .. 6(iii) Exposure at Default (EAD) .. 6(iv) Maturity .. 7(i)Adherence to minimum requirements .. 7 CHAPTER 2: IRB FRAMEWORK FOR CORPORATE DEFINITION OF CORPORATE EXPOSURES .. OF NUMBER OF GRADES BOTH FOR PERFORMING AND NON-PERFORMING DECISION WHETHER TO FOCUS THE RATING ON THE BORROWER OR THE MEANS BY WHICH RATINGS ARE 10D.

Basel Committee on Banking Supervision Consultative Document The Internal Ratings-Based Approach Supporting Document to the New Basel Capital Accord

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