✨ Risk Management Disclosure
24 JUNE 2011
NEW ZEALAND GAZETTE, No. 88
2347
Schedule 10
Supplementary risk management disclosure
Contents
| Page | |
|---|---|
| 1 Additional information about credit risk | 2347 |
| 2 Additional information about operational risk | 2347 |
| 3 Controls surrounding credit risk rating systems | 2348 |
1
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 PD and, if relevant, LGD and EAD, 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).
2
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.
Next Page →
NZ Gazette 2011, No 88
✨ LLM interpretation of page content
💰
Schedule 10: Supplementary risk management disclosure
(continued from previous page)
💰 Finance & RevenueRisk management, Banking regulations, Credit risk, Operational risk, IRB approach, Foundation IRB, Advanced IRB, Advanced Measurement Approach