12. IRB Approach: Risk Components
Effective from Dec 28 2022 - Dec 27 2022
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| 12.1 | This chapter presents the calculation of the risk components (PD, LGD, EAD, M) that are used in the formulas set out in chapter 11. In calculating these components, the legal certainty standards for recognizing credit risk mitigation under the standardized approach to credit risk (chapter 9) apply for both the foundation and advanced internal ratings-based (IRB) approaches. | |||