Status: You are viewing the version of the handbook as on 2019-09-14.

advanced IRB approach

    37one of the following:

      1. (a) (in relation to the sovereign, institutional and corporate IRB exposure class) the approach under the IRB approach under which a firm supplies its own estimates of LGD and conversion factors;
      1. (b) (where the approach in (a) is being applied on a consolidated basis) the method in (a) as applied on a consolidated basis in accordance with BIPRU 8 (Group risk - consolidation); or
      1. (c) when the reference is to the rules of or administered by a regulatory body other than the160 appropriate regulator,160 whatever corresponds to the approach in (a) or (b), as the case may be, under those rules.