Stress Test Data Framework Dictionary 2021: Version 02

BaselApproach

Enumeration Definition
A-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 including own estimates of LGD and conversion factors, for assets which don’t fall under the definitions referred to in CRR Article 147 (5).
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.
Retail 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 for exposures as defined in 147 (5).
Standardised Refers to standardised credit risk as defined in CRR Part 3 Title II Chapter 2.