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ECB guide to internal models - Europa
www.bankingsupervision.europa.euinclude the Final Draft RTS on assessment methodology for the Internal Ratings-based (IRB) Approach, the Final Draft RTS on the specification of the nature, severity and duration of an economic downturn and the ... in internal processes, application and review of estimates. ECB guide to internal models – General topics . 7 .
Basel Committee on Banking Supervision Consultative …
www.bis.orgBasel Committee on Banking Supervision Consultative Document The Internal Ratings-Based Approach Supporting Document to the New Basel Capital Accord
Granularity Adjustment for Regulatory Capital Assessment
www.ijcb.orgGranularity Adjustment for Regulatory Capital Assessment∗ Michael B. Gordya and Eva L¨utkebohmertb aFederal Reserve Board bUniversity of Freiburg The credit value-at-risk model underpinning the internal ratings-based approach of Basel II and III assumes that idio-