| Criteria |
Standardized |
Foundation IRB |
Advanced IRB |
| Risk Weight |
Calibrated on the basis of external ratings by the BASEL Committee |
Function provided by the BASEL Committee |
Function provided by the BASEL Committee |
Probability of Default (PD)
Exposure at Default (EAD)
Loss Given Default (LGD) |
Implicitly provided by the BASEL committee through the risk weights which are based on External ratings |
Provided by Bank based on its own internal estimates |
Provided by Bank based on its own internal estimates |
| Loss Given Default (LGD) |
To be computed as per guidelines given by the BASEL Committee |
To be computed as per guidelines given by the BASEL Committee |
Provided by bank based on its own internal estimates |
| |
Implicitly provided by the BASEL committee through the risk weights which are based on External ratings |
To be computed as per guidelines given by the BASEL Committee |
Provided by bank based on its own internal estimates: extensive process and history data required |
| Maturity: the remaining economic maturity of the exposure |
Implicit recognition |
To be computed as per guidelines given by the BASEL Committee Or At national discretion,provided by bank based on own estimates |
Provided by bank based on its own internal estimates |
| Credit Risk Mitigation Techniques (CRMT) |
Includes financial collateral, credit derivatives,guarantees, netting (on and off balance sheet) and realestate |
All collaterals from Standardized Approach plus receivables from goods and services and other physical securities if certain criteria are met |
All types of collaterals are allowed if a bank can prove a CRMT by internal estimation methods |
