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Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition by Youssef F. Bissada, Jean Dermine

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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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