GLOSSARY
Additional tier 1 (AT1) Tier 1 capital is made up of two components in Basel III: common equity tier 1 (CET1) and additional tier 1 capital. Contingent convertible bonds are included in additional tier 1 capital.
Advanced approach Under Basel II and the internal ratings–based approach to measure credit risk, banks have two options: the foundation or the advanced approach. In the advanced approach, banks have to estimate four parameters: the probability of default (PD), the maturity of the transaction, the loss given default (LGD), and the exposure at default (EAD).
Advanced measurement approach (AMA) Under Basel II, banks that qualify ...
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