Stress Test Data Framework Dictionary 2021: Version 02

CCRriskweightcalculationmethod

Enumeration Definition
A-IRB Advanced internal ratings-based approach.
Alternative calculation of own funds requirements for exposures to a QCCP
F-IRB Refers to the methods of calculating the credit risk capital component as set out in CRR Part 3 Title II Chapter 3, where permission has been granted under CRR Article 143, but solely for calculating PD such that the values in CRR Articles 161 and 162 still apply.
IRB slotting Classification system to calculate capital required to be set aside to cover losses on specialised lending, including property loans, as set out in CRR Article 153.
Own funds requirements for pre-funded contributions to the default fund of a QCCP
Pre-funded and un-funded default fund contributions of a non-qualifying CCP
Standardised