Course details

Quantification of IRB Systems

Quantification of IRB Systems


Overview/Description
Target Audience
Expected Duration
Lesson Objectives
Course Number


Overview/Description
Basel II proposed a sophisticated approach for determining capital requirements for credit risk, known as the internal ratings-based approach (IRB). The IRB approach is predicated upon a bank's internal assessment of its credit risk and is subject to strict data, validation, and operational requirements. When using the IRB approach, a bank also has to put a system in place that consists of four interdependent components: credit risk rating, quantification of risk ratings, data maintenance, and oversight mechanisms. Taken as a whole, these components present a framework for defining and improving the evaluation of credit risk. The quantification component in this framework helps translate credit risk ratings against the IRB risk parameters, which are probability of default (PD), loss given default (LGD), exposure at default (EAD), and maturity (M). This course introduces the quantification component of the IRB framework and discusses ways to quantify the key risk parameters. It identifies IRB quantification system guidelines and the stages in the quantification process. It also outlines some important considerations in quantifying retail and corporate credit exposures.

Target Audience
Financial services professionals, consultants, and sales professionals interested in providing or selling products and services to banks and other financial institutions, and everyone interested in knowing about credit and operational risk exposure to banks and capital requirements to cover those risks in light of the Basel framework

Expected Duration (hours)
1.0

Lesson Objectives

Quantification of IRB Systems

  • recognize components of IRB systems
  • identify IRB quantification system guidelines
  • identify stages in the quantification process
  • recognize characteristics of IRB systems
  • identify key considerations in retail exposure quantification
  • identify key considerations in quantification for corporate credit
  • recognize characteristics of parameter quantification
  • Course Number:
    fini_07_a04_bs_enus