【文章內(nèi)容簡介】 ......... 61 (iii) Exposure at default (EAD) ........................................................................ 61 E. Rules for Equity Exposures ....................................................................................... 62 1. Risk weighted assets for equity exposures ....................................................... 62 (i) Marketbased approach ............................................................................ 62 (ii) PD/LGD approach .................................................................................... 63 (iii) Exclusions to the marketbased and PD/LGD approaches ..................... 64 2. Risk ponents ................................................................................................ 64 F. Rules for Purchased Receivables ............................................................................. 65 1. Riskweighted assets for default risk ................................................................. 65 (i) Purchased retail receivables .................................................................... 65 (ii) Purchased corporate receivables ............................................................. 65 2. Riskweighted assets for dilution risk ................................................................. 67 (i) Treatment of purchased discounts ........................................................... 67 (ii) Recognition of guarantees ........................................................................ 67 G. Recognition of Provisions ......................................................................................... 68 H. Minimum Requirements for IRB Approach ............................................................... 69 1. Composition of minimum requirements ............................................................. 69 2. Compliance with minimum requirements ........................................................... 70 3. Rating system design ......................................................................................... 70 (i) Rating dimensions .................................................................................... 70 (ii) Rating structure ........................................................................................ 71 (iii) Rating criteria ............................................................................................ 72 (iv) Assessment horizon ................................................................................. 73 (v) Use of models ........................................................................................... 73 (vi) Documentation of rating system design ................................................... 74 4. Risk rating system operations ............................................................................ 75 (i) Coverage of ratings .................................................................................. 75 (ii) Integrity of rating process ......................................................................... 75 (iii) Overrides .................................................................................................. 76 (iv) Data maintenance ..................................................................................... 76 (v) Stress tests used in assessment of capital adequacy ............................. 77 5. Corporate governance and oversight ................................................................ 77 (i) Corporate governance .............................................................................. 77 (ii) Credit risk control ...................................................................................... 78 (iii) Internal and external audit ........................................................................ 78 6. Use of internal ratings ........................................................................................ 79 7. Risk quantification .............................................................................................. 79 (i) Overall requirements for estimation ......................................................... 79 (ii) Definition of default ................................................................................... 80 (iii) Reageing ................................................................................................. 81 (iv) Treatment of overdrafts ............................................................................ 82 (v) Definition of loss all asset classes ......................................................... 82 (vi) Requirements specific to PD estimation .................................................. 82 (vii) Requirements specific to ownLGD estimates ......................................... 83 (viii) Requirements specific to ownEAD estimates ......................................... 84 (ix) Minimum requirements for assessing effect of guarantees and credit derivatives ................................................................................................. 86 (x) Minimum requirements for estimating PD and LGD (EL)......................... 87 8. Validation of internal estimates .......................................................................... 89 9. Supervisory LGD and EAD estimates ............................................................... 90 (i) Definition of eligibility of CRE and RRE as collateral ................................. 90 (ii) Operational requirements for eligible CRE/RRE ........................................ 91 (iii) Requirements for recognition of financial receivables ............................... 92 10. Requirements for recognition of leasin