The Basel accords—from Basel I in 1988 through the Basel II final rules approved in November 2007—are international efforts to determine the amount of capital a bank should hold to honor its commitments to its customers and to maintain its financial viability when it suffers unexpected losses. Basel I fixed a single minimum capital requirement using an umbrella concept of loss that did not distinguish among losses resulting from different types of risk. Basel II lays out a more sophisticated, nuanced, and modern determination of bank capital holding requirements and implements separate capital regimes categorized by type of risk.
Guarantees and Credit Derivative Contracts: PD Substitutions and LGD Adjustment Approaches (Part IV: Risk-Weighted Assets for General Credit Risk, Section 33)
Covers wholesale exposures for which credit risk is fully covered by an eligible guarantee or eligible credit derivative, or on a pro rata basis.
Mechanics for Calculating Total Wholesale and Retail Risk-Weighted Assets (Part IV: Risk-Weighted Assets for General Credit Risk, Section 31)
Covers the mechanics for calculating total wholesale and retail risk-weighted assets; includes IRB risk-based capital formulas.