Part II Commercial Banking, 10 The Internal Ratings Based Approach
- Regulation of banks — Lending and credit — Mortgage — Equity — Bonds — Netting — Basel 3
10.01 The building blocks of the IRB are the asset categories. Each asset category uses a different methodology to ascribe risk weightings to exposures, and in many cases the attribution of a particular asset to one class rather than another will have an impact on the amount of regulatory capital it requires. The asset classes are as follows: Classification Sub-classifications Corporate exposures Sovereign exposures Bank exposures Retail exposures Equity exposures Eligible purchased receivables 10.02 Under Basel II, all of these exposures are weighted using the...