Table of Contents
Document Overview
CRE36 IRB approach: minimum requirements to use IRB approach (paras. 36.1-36.148) (effective as of 1 January 2023)
This chapter sets out the minimum requirements for banks to use the internal ratings-based approach, including requirements for initial adoption and for ongoing use.
Version effective as of 01 Jan 2023
Changes due to the December 2017 Basel III publication and the revised implementation date announced on 27 March 2020.
Introduction
36.1 This chapter presents the minimum requirements for entry and on-going use of the internal ratings-based (IRB) approach. The minimum requirements are set out in the following 11 sections:
(1) Composition of minimum requirements
(2) Compliance with minimum requirements
(3) Rating system design
(4) Risk rating system operations
(5) Corporate governance and oversight
(6) Use of internal ratings
(7) Risk quantification
(8) Validation of internal estimates
(9) Supervisory loss-given-default (LGD) and exposure at default (EAD) estimates
(10) Requirements for recognition of leasing
(11) Disclosure requirements