substitution of risk parameters approach under A-IRB

Defined in Article 192, Capital Requirements Regulation (CRR)

Definitions over time (1)

1. 01/01/2025 – today applies on 12/11/2026 Article 192, Capital Requirements Regulation (CRR) Scope: Part III Title II Chapter 4

   For the purposes of this Chapter, the following definitions shall apply:

   ‘substitution of risk parameters approach under A-IRB’ means the substitution, in accordance with Article 236a, of both the PD and LGD risk parameters of the underlying exposure with the corresponding PD and LGD that would be assigned under the IRB approach using own estimates of LGD to a comparable direct exposure to the protection provider.

Used in (1 place in 1 provisions on 12/11/2026)

Capital Requirements Regulation (CRR) (1 in 1)

Article 192