Basel Internal Ratings-Based ApproachIRB Probability of DefaultPDLoss Given DefaultLGDExposure At DefaultEAD Effective MaturityM Basel IRB Basel 1 Basel Basel IRB PD 1. 1.1 PDLGDEAD 1 PD PD 42
1.2 1.3 1.4 PDLGDEAD Basel IRB IRB 2. PD 2.1 2.11 2.12 P D PD 43
2.13 2.2 2.21 a b 2.22 PD ipd ii PD IRB LGD 2.23 2.24 seasoning 44
PD PD Basel PD 1.2 1.3 1.4 1.5 1.6 IRB Basel 1. 1.1 IRB Data EstimationMapping Application 2. 1. 2. 3.4. 2.1 Data 2.11 45
2.12 2.13 2.131 2.132 2.14 2.141 2.142 2.2 Estimation 2.21 46
2.22 Basel 2.23 2.231 2.232 2.233 2.234 Merton distance to default 2.235 2.24 47
2.3 Mapping 2.31 2.32 2.321 Obligor mapping 2.322 Grade mapping 2.323 2.324 48
2.33 2.331 point-in-time through-the-cycle 2.332 2.333 2.34 2.341 2.342 49
2.343 2.344 2.35 2.351 distance to default measure 2.352 2.4 Application 2.41 2.42 50
2.421 2.43 2.431 2.432 D a t a EstimationMapping Application 51
Step1 Step2 r i s k buckets internal grades 1 Step3 Step4 1997 52
3. 1. 2. 4. A 53
/ A Basel / / 54