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Home > Prudential Regulation Authority > Internal Ratings Based (IRB) approaches – SS11/13 UPDATE
 

Internal Ratings Based (IRB) approaches – SS11/13 UPDATE

19 June 2017

Update 19 June 2017: SS11/13 was updated alongside the publication of PS13/17 ‘Residential mortgage risk weights’. This version of SS11/13 updates the version issued on 11 November 2015.

Background

This supervisory statement sets out the Prudential Regulation Authority’s (PRA’s) expectations regarding firms’ use of internal ratings based approaches.

The supervisory statement covers the following principal topics:

  • corporate governance;
  • permanent partial use and sequential implementation;
  • overall requirements for estimation;
  • definition of default;
  • probability of default (PD);
  • loss given default (LGD);
  • exposure at default (EAD);
  • validation;
  • income-producing real estate portfolios; and
  • temporary adjustments to approved models


Supervisory statement

Internal Ratings Based (IRB) approaches – SS11/13 UPDATE

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