According to Basel II, this is a way of calculating the minimum capital requirements for a bank’s credit risk in addition to the standardized approach specified in the regulatory framework. In this approach, the creditworthiness of borrowers is assessed internally and, based on this, the regulatory capital requirements (underlying; backing) are determined in each case. This requires special approval from the German Federal Financial Supervisory Authority (BaFin). The corresponding ratings of the bank must, of course, meet strict requirements; the supervisory authority is obliged to review the adequacy of the calculation on an ongoing basis. – In detail, a bank is free to choose whether to follow the so-called foundation IRB approach (FIRB) or the advanced IRB approach (AIRB). In the foundation IRB approach, only the probability of default is estimated, whereas in the advanced IRB approach, additional parameters have to be calculated internally by the bank. The Basel II framework describes the necessary steps in detail. – See counterparty risk, default, probability of default, backtesting, Herfindahl-Hirschman index, internal ratings-based approach, calibration, credit risk, rating, rating steps, risk measurement, risk profile, debt, non-performing, discriminatory power, validation, value at risk, loss, unexpected, loss rate. – See BaFin Annual Report 2006, p. 120 f. (IRBA approvals at Landesbanken), BaFin Annual Report 2007, p. 135 (new approvals), p. 136 (international cooperation on AMA and IRBA procedures), BaFin Annual Report 2009, p. 152 (IRBA procedure continues to gain acceptance), Deutsche Bundesbank Monthly Report of January 2009, p. 73 (components of the AMA approach), BaFin’s 2010 Annual Report, p. 164 (status of institutions reporting under the IRBA procedure), BaFin’s 2012 Annual Report, p. 148 et seq. (supervisory action), and the respective BaFin Annual Report, “Chapter “Supervision of Banks, Financial Service Providers, and Payment Institutions,” section “Supervisory Action.”
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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
E-mail address: info@ekrah.com
https://de.wikipedia.org/wiki/Gerhard_Ernst_Merk
https://www.jung-stilling-gesellschaft.de/merk/
https://www.gerhardmerk.de/
Passende Formel
Gesamtkapitalrentabilität (ROA)
Die operative Verzinsung des gesamten eingesetzten Kapitals messen.
Variablen: EBIT Ergebnis vor Zinsen und Steuern; Gesamtkapital durchschnittlicher Bestand.
Anwendung: Für betriebs- und finanzierungsunabhängige Rentabilitätsvergleiche.