388:
to quantify required capital for credit risk. In many countries this is the only approach regulators approved in the initial phase of Basel II implementation. The Basel II accord proposes to permit banks a choice between two broad methodologies for calculating their capital requirements for credit
426:
with a set of formulae provided by the Basel-II accord. There exist several alternative weights for some of the following claim categories published in the original framework text.
774:
Basel II: International
Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version (BCBS) (June 2006 Revision)
714:
100% for provisions that are no less than 50% of the outstanding amount, but with supervisory discretion are reduced to 50% of the outstanding amount
205:
20:
423:
390:
183:
769:
Basel II: International
Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)
397:
348:
88:
800:
266:
24:
232:
83:
48:
1247:
408:
There are some options in weighing risks for some claims, below are the summary as it might be likely to be implemented.
227:
28:
1115:
1394:
1197:
341:
324:
271:
764:
Basel II: International
Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS)
1473:
793:
414:: For some "unrated" risk weights, banks are encouraged to use their own internal-ratings system based on
1080:
972:
239:
1144:
1232:
813:
1090:
1055:
334:
261:
215:
78:
73:
1399:
1120:
1105:
1060:
1047:
786:
1095:
778:
151:
315:
1437:
1339:
1312:
1297:
1065:
920:
841:
1468:
1442:
1374:
1364:
1319:
1252:
1085:
836:
385:
8:
1432:
1389:
900:
200:
146:
1409:
1404:
1384:
1272:
1075:
1033:
930:
856:
396:
Reforms to the standardised approach to credit risk are due to be introduced under the
639:
This includes credit card, overdraft, auto loans, personal finance and small business.
1463:
1287:
1277:
1267:
1222:
1217:
1171:
1167:
1140:
1070:
987:
861:
851:
156:
1324:
1242:
1192:
1175:
1100:
964:
949:
514:
Related to assessment of sovereign as banks and securities companies are regulated.
378:
289:
256:
1359:
1334:
1292:
1282:
1257:
1237:
1227:
940:
904:
846:
130:
117:
112:
1307:
1163:
1159:
1150:
1018:
997:
945:
935:
925:
915:
884:
866:
809:
415:
294:
188:
166:
161:
1457:
1414:
1302:
1212:
1202:
1155:
1135:
1028:
977:
53:
1369:
1354:
1130:
992:
953:
419:
249:
244:
193:
121:
580:
519:
435:
1419:
1379:
1125:
1110:
1023:
910:
888:
876:
828:
370:
222:
173:
711:
100% for provisions that are between 20% - 49% of the outstanding amount
384:
Under this approach the banks are required to use ratings from external
1002:
982:
896:
892:
403:
299:
773:
768:
763:
1349:
758:
68:
708:
150% for provisions that are less than 20% of the outstanding amount
1207:
374:
63:
1262:
108:
58:
808:
1329:
1344:
126:
759:
Basel II: Revised international capital framework (BCBS)
696:
more than 90 days other than residential mortgage loans.
490:
Claims on the BIS, the IMF, the ECB, the EC and the MDBs
404:
The summary of risk weights in standardized approach
1455:
21:Standardized approach (counterparty credit risk)
794:
342:
40:International regulatory standards for banks
801:
787:
349:
335:
398:Basel III: Finalising post-crisis reforms
16:Set of credit risk measurement techniques
672:Claims secured by commercial real estate
506:Claims on banks and securities companies
389:risk. The other alternative is based on
25:Standardized approach (operational risk)
1456:
656:Claims secured by residential property
373:measurement techniques proposed under
49:Basel Committee on Banking Supervision
782:
29:Standardized approach (market risk)
13:
14:
1485:
1076:Conditional Value-at-Risk (CVaR)
381:rules for banking institutions.
424:Internal-Ratings Based approach
1395:Strategic financial management
1198:Asset and liability management
1:
752:
604:
582:
546:
521:
462:
437:
325:Business and Economics Portal
282:Pillar 2: Supervisory review
139:Pillar 1: Regulatory capital
7:
973:Operational risk management
308:Pillar 3: Market disclosure
10:
1490:
1145:Proportional hazards model
1096:Interest rate immunization
18:
1428:
1185:
1046:
1011:
963:
875:
827:
820:
814:financial risk management
631:Claims on retail products
1091:First-hitting-time model
1056:Arbitrage pricing theory
19:Not to be confused with
1400:Stress test (financial)
1106:Modern portfolio theory
386:credit rating agencies
1438:Investment management
1340:Investment management
1066:Replicating portfolio
842:Sovereign credit risk
369:) refers to a set of
367:standardised approach
363:standardized approach
1443:Mathematical finance
1375:Risk-return spectrum
1365:Mathematical finance
1320:Fundamental analysis
1253:Exchange traded fund
837:Consumer credit risk
576:Claims on corporates
431:Claims on sovereigns
1474:Capital requirement
1433:Financial economics
1390:Statistical finance
1156:Value-at-Risk (VaR)
1061:Black–Scholes model
901:Holding period risk
147:Capital requirement
1410:Structured product
1405:Structured finance
1385:Speculative attack
1071:Cash flow matching
1034:Non-financial risk
931:Interest rate risk
857:Concentration risk
1451:
1450:
1223:Corporate finance
1218:Capital structure
1172:Cash flow at risk
1168:Liquidity at risk
1141:Survival analysis
1042:
1041:
988:Reputational risk
862:Credit derivative
730:Risk weight: 100%
680:Risk weight: 100%
627:
626:
585:Credit Assessment
572:
571:
524:Credit Assessment
486:
485:
440:Credit Assessment
359:
358:
41:
1481:
1325:Growth investing
1243:Enterprise value
1193:Asset allocation
1176:Earnings at risk
1158:and extensions (
1101:Market portfolio
965:Operational risk
950:Refinancing risk
825:
824:
803:
796:
789:
780:
779:
664:Risk weight: 35%
648:Risk weight: 75%
581:
520:
436:
391:internal ratings
379:capital adequacy
351:
344:
337:
290:Economic capital
257:Operational risk
39:
37:Basel Framework
34:
33:
1489:
1488:
1484:
1483:
1482:
1480:
1479:
1478:
1454:
1453:
1452:
1447:
1424:
1360:Systematic risk
1258:Expected return
1238:Economic bubble
1233:Diversification
1228:Cost of capital
1181:
1038:
1007:
959:
941:Volatility risk
905:Price area risk
871:
847:Settlement risk
816:
807:
755:
746:Risk weight: 0%
498:Risk Weight: 0%
406:
355:
131:Risk management
118:Monetary policy
38:
32:
17:
12:
11:
5:
1487:
1477:
1476:
1471:
1466:
1449:
1448:
1446:
1445:
1440:
1435:
1429:
1426:
1425:
1423:
1422:
1417:
1412:
1407:
1402:
1397:
1392:
1387:
1382:
1377:
1372:
1367:
1362:
1357:
1352:
1347:
1342:
1337:
1332:
1327:
1322:
1317:
1316:
1315:
1310:
1305:
1300:
1295:
1290:
1285:
1280:
1275:
1270:
1260:
1255:
1250:
1245:
1240:
1235:
1230:
1225:
1220:
1215:
1210:
1205:
1200:
1195:
1189:
1187:
1186:Basic concepts
1183:
1182:
1180:
1179:
1164:Margin at risk
1160:Profit at risk
1153:
1151:Tracking error
1148:
1138:
1133:
1128:
1123:
1121:Risk-free rate
1118:
1113:
1108:
1103:
1098:
1093:
1088:
1083:
1078:
1073:
1068:
1063:
1058:
1052:
1050:
1044:
1043:
1040:
1039:
1037:
1036:
1031:
1026:
1021:
1019:Execution risk
1015:
1013:
1009:
1008:
1006:
1005:
1000:
998:Political risk
995:
990:
985:
980:
975:
969:
967:
961:
960:
958:
957:
946:Liquidity risk
943:
938:
936:Inflation risk
933:
928:
926:Margining risk
923:
918:
916:Valuation risk
913:
908:
885:Commodity risk
881:
879:
873:
872:
870:
869:
867:Securitization
864:
859:
854:
849:
844:
839:
833:
831:
822:
818:
817:
810:Financial risk
806:
805:
798:
791:
783:
777:
776:
771:
766:
761:
754:
751:
750:
749:
748:
747:
741:
740:
734:
733:
732:
731:
725:
724:
718:
717:
716:
715:
712:
709:
706:
700:
699:
698:
697:
691:
690:
684:
683:
682:
681:
675:
674:
668:
667:
666:
665:
659:
658:
652:
651:
650:
649:
643:
642:
641:
640:
634:
633:
625:
624:
621:
618:
615:
612:
609:
603:
602:
599:
596:
593:
590:
587:
579:
578:
570:
569:
566:
563:
560:
557:
554:
551:
545:
544:
541:
538:
535:
532:
529:
526:
518:
517:
516:
515:
509:
508:
502:
501:
500:
499:
493:
492:
484:
483:
480:
477:
474:
471:
468:
465:
461:
460:
457:
454:
451:
448:
445:
442:
434:
433:
416:Foundation IRB
405:
402:
357:
356:
354:
353:
346:
339:
331:
328:
327:
321:
320:
319:
318:
310:
309:
305:
304:
303:
302:
297:
295:Liquidity risk
292:
284:
283:
279:
278:
277:
276:
275:
274:
269:
264:
254:
253:
252:
247:
237:
236:
235:
230:
220:
219:
218:
213:
212:
211:
208:
198:
197:
196:
191:
181:
171:
170:
169:
164:
159:
157:Leverage ratio
154:
141:
140:
136:
135:
134:
133:
124:
115:
103:
102:
98:
97:
96:
95:
94:
93:
92:
91:
86:
81:
76:
66:
61:
51:
43:
42:
15:
9:
6:
4:
3:
2:
1486:
1475:
1472:
1470:
1467:
1465:
1462:
1461:
1459:
1444:
1441:
1439:
1436:
1434:
1431:
1430:
1427:
1421:
1418:
1416:
1415:Systemic risk
1413:
1411:
1408:
1406:
1403:
1401:
1398:
1396:
1393:
1391:
1388:
1386:
1383:
1381:
1378:
1376:
1373:
1371:
1368:
1366:
1363:
1361:
1358:
1356:
1353:
1351:
1348:
1346:
1343:
1341:
1338:
1336:
1333:
1331:
1328:
1326:
1323:
1321:
1318:
1314:
1311:
1309:
1306:
1304:
1301:
1299:
1296:
1294:
1291:
1289:
1286:
1284:
1281:
1279:
1276:
1274:
1271:
1269:
1266:
1265:
1264:
1261:
1259:
1256:
1254:
1251:
1249:
1246:
1244:
1241:
1239:
1236:
1234:
1231:
1229:
1226:
1224:
1221:
1219:
1216:
1214:
1213:Capital asset
1211:
1209:
1206:
1204:
1203:Asset pricing
1201:
1199:
1196:
1194:
1191:
1190:
1188:
1184:
1177:
1173:
1169:
1165:
1161:
1157:
1154:
1152:
1149:
1146:
1142:
1139:
1137:
1136:Sortino ratio
1134:
1132:
1129:
1127:
1124:
1122:
1119:
1117:
1114:
1112:
1109:
1107:
1104:
1102:
1099:
1097:
1094:
1092:
1089:
1087:
1084:
1082:
1079:
1077:
1074:
1072:
1069:
1067:
1064:
1062:
1059:
1057:
1054:
1053:
1051:
1049:
1045:
1035:
1032:
1030:
1029:Systemic risk
1027:
1025:
1022:
1020:
1017:
1016:
1014:
1010:
1004:
1001:
999:
996:
994:
991:
989:
986:
984:
981:
979:
978:Business risk
976:
974:
971:
970:
968:
966:
962:
955:
951:
947:
944:
942:
939:
937:
934:
932:
929:
927:
924:
922:
919:
917:
914:
912:
909:
906:
902:
898:
894:
890:
886:
883:
882:
880:
878:
874:
868:
865:
863:
860:
858:
855:
853:
850:
848:
845:
843:
840:
838:
835:
834:
832:
830:
826:
823:
819:
815:
811:
804:
799:
797:
792:
790:
785:
784:
781:
775:
772:
770:
767:
765:
762:
760:
757:
756:
745:
744:
743:
742:
739:
736:
735:
729:
728:
727:
726:
723:
720:
719:
713:
710:
707:
704:
703:
702:
701:
695:
694:
693:
692:
689:
688:Overdue loans
686:
685:
679:
678:
677:
676:
673:
670:
669:
663:
662:
661:
660:
657:
654:
653:
647:
646:
645:
644:
638:
637:
636:
635:
632:
629:
628:
622:
619:
616:
613:
610:
608:
605:
600:
597:
594:
591:
588:
586:
583:
577:
574:
573:
567:
564:
561:
558:
555:
552:
550:
547:
542:
539:
536:
533:
530:
527:
525:
522:
513:
512:
511:
510:
507:
504:
503:
497:
496:
495:
494:
491:
488:
487:
481:
478:
475:
472:
469:
466:
463:
458:
455:
452:
449:
446:
443:
441:
438:
432:
429:
428:
427:
425:
421:
417:
413:
409:
401:
399:
394:
392:
387:
382:
380:
377:, which sets
376:
372:
368:
364:
352:
347:
345:
340:
338:
333:
332:
330:
329:
326:
323:
322:
317:
314:
313:
312:
311:
307:
306:
301:
298:
296:
293:
291:
288:
287:
286:
285:
281:
280:
273:
270:
268:
265:
263:
260:
259:
258:
255:
251:
248:
246:
243:
242:
241:
238:
234:
231:
229:
226:
225:
224:
221:
217:
214:
209:
207:
204:
203:
202:
199:
195:
192:
190:
187:
186:
185:
182:
180:
177:
176:
175:
172:
168:
165:
163:
160:
158:
155:
153:
152:Capital ratio
150:
149:
148:
145:
144:
143:
142:
138:
137:
132:
128:
125:
123:
119:
116:
114:
110:
107:
106:
105:
104:
100:
99:
90:
87:
85:
82:
80:
77:
75:
72:
71:
70:
67:
65:
62:
60:
57:
56:
55:
54:Basel Accords
52:
50:
47:
46:
45:
44:
36:
35:
30:
26:
22:
1370:Moral hazard
1355:Risk of ruin
1131:Sharpe ratio
993:Country risk
954:Deposit risk
852:Default risk
737:
722:Other assets
721:
705:Risk weight:
687:
671:
655:
630:
606:
584:
575:
548:
534:BBB+ to BBB-
523:
505:
489:
450:BBB+ to BBB-
439:
430:
420:Advanced IRB
411:
410:
407:
395:
383:
366:
362:
360:
267:Standardized
228:Standardized
178:
122:Central bank
1469:Credit risk
1420:Toxic asset
1380:Speculation
1313:social work
1298:engineering
1126:Risk parity
1111:Omega ratio
1024:Profit risk
911:Equity risk
889:Volume risk
877:Market risk
829:Credit risk
607:Risk Weight
595:BBB+ to BB-
549:Risk Weight
464:Risk Weight
371:credit risk
223:Market risk
174:Credit risk
1458:Categories
1003:Legal risk
983:Model risk
897:Shape risk
893:Basis risk
821:Categories
753:References
589:AAA to AA-
528:AAA to AA-
444:AAA to AA-
316:Disclosure
300:Legal risk
113:Regulation
101:Background
1350:Risk pool
1263:Financial
598:Below BB-
537:BB+ to B-
453:BB+ to B-
361:The term
69:Basel III
1464:Basel II
1273:analysis
1208:Bad debt
1086:Drawdown
1048:Modeling
601:unrated
592:A+ to A-
543:unrated
540:Below B-
531:A+ to A-
459:unrated
456:Below B-
447:A+ to A-
375:Basel II
64:Basel II
1288:betting
1278:analyst
1268:adviser
921:FX risk
240:CVA vol
109:Banking
89:Endgame
59:Basel I
1330:Hazard
1081:Copula
948:(e.g.
887:(e.g.
250:SA-CVA
245:BA-CVA
206:SA-CCR
167:Tier 2
162:Tier 1
1335:Hedge
1293:crime
1283:asset
1116:RAROC
1012:Other
623:100%
568:100%
482:100%
262:Basic
194:A-IRB
189:F-IRB
179:SA-CR
27:, or
1345:Risk
1308:risk
812:and
738:Cash
620:150%
617:100%
565:150%
562:100%
559:100%
479:150%
476:100%
418:and
412:NOTE
365:(or
127:Risk
84:FRTB
79:NSFR
1303:law
1248:ESG
614:50%
611:20%
556:50%
553:20%
473:50%
470:20%
422:in
272:AMA
233:IMA
216:CCF
210:IMM
201:EAD
184:IRB
74:LCR
1460::
1174:,
1170:,
1166:,
1162:,
952:,
903:,
899:,
895:,
891:,
467:0%
400:.
393:.
129:/
120:/
111:/
23:,
1178:)
1147:)
1143:(
956:)
907:)
802:e
795:t
788:v
350:e
343:t
336:v
31:.
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