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International Convergence of Capital Measurement and Capital StandardsAbbreviationsI. IntroductionStructure of this documentPart 1: Scope of ApplicationI. IntroductionII. Banking, securities and other financial subsidiariesIII. Significant minority investments in banking, securities and other financial entitiesIV. Insurance entitiesV. Significant investments in commercial entitiesVI. Deduction of investments pursuant to this partPart 2: The First Pillar - Minimum Capital RequirementsI. Calculation of minimum capital requirementsIa. The constituents of capitalII. Credit Risk - The Standardised ApproachIII. Credit Risk - The Internal Ratings-Based ApproachIV. Credit Risk - Securitisation FrameworkV. Operational RiskVI. Market RiskAnnex 1: The 15% of Tier 1 Limit on Innovative InstrumentsAnnex 1a: Definition of Capital Included in the Capital BaseAnnex 2: Standardised Approach – Implementing the Mapping ProcessAnnex 3: Capital Treatment for Failed Trades and Non-DvP TransactionsAnnex 4: Treatment of Counterparty Credit Risk and Cross-Product NettingAnnex 5: Illustrative IRB Risk WeightsAnnex 6: Supervisory Slotting Criteria for Specialised LendingAnnex 7: Illustrative Examples: Calculating the Effect of Credit Risk Mitigation under Supervisory FormulaAnnex 8: Mapping of Business LinesAnnex 9: Detailed Loss Event Type ClassificationAnnex 10: Overview of Methodologies for the Capital Treatment of Transactions Secured by Financial Collateral under the Standardised and IRB ApproachesAnnex 10a: Supervisory Framework for the Use of “Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital RequirementsAnnex 11: The Simplified Standardised Approach [This approach should not be seen as another approach for determining regulatory capital. Rather, it collects in one place the simplest options for calculating risk-weighted assets.]
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Version date: 29 June 2006 - onwards

Annex 10a: Supervisory Framework for the Use of “Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital Requirements

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