Regulatory Alerts2022-08-15
The Standardised Approach - Credit Risk
The Supervisor of Banks issued this directive to establish the Standardized Approach for calculating capital requirements for credit risk, offering an alternative to the Internal Ratings-based Approach. The document mandates specific risk weights for various exposure categories, including sovereigns, public sector entities, banks, corporates, and retail portfolios, based on external credit assessments or internal criteria. It further details risk weighting methodologies for claims secured by residential and commercial real estate, as well as provisions for past due loans and credit risk mitigation techniques.
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