ERM Glossary: Advanced internal ratings-based approach (A-IRB)

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In Basel II/III, the advanced internal ratings-based approach (A-IRB) is one of two types of internal ratings-based approaches that can be used to calculate regulatory capital requirements for credit risk (the other is the foundation internal ratings-based approach).


With the advanced approach, firms are able to use internal data for determining probability of default, exposure at default and loss give default, However, they still need to use the Basel II/III model formula (including maturity adjustments) for actual calculation of credit risk based on these inputs.


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