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Under the Basel II guidelines, banks are allowed to use their own estimated risk parameters for the purpose of calculating regulatory capital. This is known as the internal ratings-based (IRB) approach to capital requirements for credit risk. Only banks meeting certain minimum conditions, disclosure requirements and approval from their national supervisor are allowed to use this approach in estimating capital for various exposures.〔(IRB Approach:bis2information.org )〕〔(Committee of European Banking Supervisors:Guidelines on AMA and IRB approach )〕 == Overview == The IRB approach relies on a bank's own assessment of its counterparties and exposures to calculate capital requirements for credit risk. The Basel Committee on Banking Supervision explained the rationale for adopting this approach in a consultative paper issued in 2001.〔(BCBS:The Internal Ratings-Based Approach )〕 Such an approach has two primary objectives - *Risk sensitivity - Capital requirements based on internal estimates are more sensitive to the credit risk in the bank's portfolio of assets *Incentive compatibility - Banks must adopt better risk management techniques to control the credit risk in their portfolio to minimize regulatory capital To use this approach, a bank must take two major steps: *Categorize their exposures into various asset classes as defined by the Basel II accord *Estimate the risk parameters—probability of default (PD), loss given default (LGD), exposure at default (EAD), maturity (M)—that are inputs to risk-weight functions designed for each asset class to arrive at the total risk weighted assets(RWA) The regulatory capital for credit risk is then calculated as 8% of the total RWA under Basel II. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Internal ratings-based approach (credit risk)」の詳細全文を読む スポンサード リンク
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