March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Credit risk weighting
Two approaches are proposed: a standardized approach which relies on external ratings; that is ratings given by rating agencies, such as Moody’s, Standard & Poor or Fitch-IBCA. The second approach, which has received most attention all over the world, is the internal ratings-based (IRB) approach (available under two options: foundation or advanced). Supervisory authorities will decide which banks qualify for the IRB approach. Those who do not, or choose not to, qualify will apply the standardized approach.
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