✨ Banking Regulations
994 NEW ZEALAND GAZETTE, No. 40 27 FEBRUARY 2008
Additional information about credit risk
(1) If a registered bank has partly, but not fully adopted the Foundation Internal Ratings Based (IRB) approach or the Advanced IRB approach to credit risk, the following information:
(a) a description of the nature of credit exposures within each exposure class subject to the Standardised, Foundation, and Advanced IRB approaches; and
(b) if relevant, management’s plans and timing for migrating credit exposures to full implementation of the applicable approach.
(2) If a registered bank has implemented the Foundation IRB approach or Advanced IRB approach to credit risk, the following information:
(a) a broad overview of the model approaches and methods used for the estimation of Probability of Default and, if relevant, Loss Given Default and Exposure at Default,
for the following exposure classes or sub-classes as defined in Capital Adequacy Framework (Internal Models Based Approach) (BS2B):
(i) any exposure class other than the retail exposure class which includes exposures of a material total value; and
(ii) exposures classified as retail mortgage lending by the registered bank for the purpose of its internal credit risk modelling; and
(iii) retail exposures other than those referred to in subclause (ii).
Additional information about operational risk
If a registered bank has implemented the Advanced Measurement Approach to operational risk, the following information:
(a) a general description of the methodology used in the advanced measurement approach including a discussion of relevant internal and external factors considered in the bank’s measurement approach, and whether economic capital is allocated across business lines; and
(b) a description of the use of insurance for the purposes of mitigating operational risk.
Controls surrounding credit risk rating systems
If the registered bank has implemented the Advanced IRB approach or Foundation IRB approach to credit risk, a discussion of the control mechanisms for the rating systems used to measure credit risk, covering independence, accountability, and rating systems reviews.
REBECCA KITTERIDGE, for Clerk of the Executive Council.
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Online Sources for this page:
VUW Te Waharoa —
NZ Gazette 2008, No 40
Gazette.govt.nz —
NZ Gazette 2008, No 40
✨ LLM interpretation of page content
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Additional information about credit risk
(continued from previous page)
💰 Finance & RevenueCredit risk, Foundation Internal Ratings Based (IRB), Advanced IRB, Standardised approach, Migration plans
- REBECCA KITTERIDGE, for Clerk of the Executive Council
💰 Additional information about operational risk
💰 Finance & RevenueOperational risk, Advanced Measurement Approach, Methodology, Economic capital, Insurance
- REBECCA KITTERIDGE, for Clerk of the Executive Council
💰 Controls surrounding credit risk rating systems
💰 Finance & RevenueCredit risk rating systems, Control mechanisms, Independence, Accountability, Rating systems reviews
- REBECCA KITTERIDGE, for Clerk of the Executive Council