Advanced Internal Ratings Based Approach (AIRB) for calculating credit risk

In the Advanced Internal Ratings Based Approach for calculation of minimum own funds requirements for credit risk, all parameters that are required for calculating the minimum own funds are calculated internally within the bank. The parameters are: the probability of default (PD), the loss given default (LGD), the credit conversion factor (CCF) and the maturity (M). The estimation model conducted internally by the bank is subject to strict quality requirements, the validity of which is therefore checked by the competent supervisory authority on a regular basis.