Questions about RBA SF IAA

[cqbzxk]

Hi, does anyone has any idea about RBA SF IAA of asset securitization? I did not quit get,
I wonder which part of capital charge responsible for securitization? Market Charge or Credit Charge? the book said IRB approach allow three method to calculate the capital requirement: RBA SF IAA, does it means Credit risk charge = ASRF result + RBA or SF or IAA ?
thanks !

 

[ShaktiRathore]

HI THERE
IAA is the internal assessment approach method used to calculate market risk VaR, so calculates market risk charge. It sully utilized the benefits of diversification thereby creating a portfolio of market securities.The diversification reduces the overall risk and therefore the var.Its one of the internal approaches used by the banks to assess the Var required to face the market risk arising from the market assets held by the bank in their portfolio of assets. I think IRB approach is for credit risk charge calculations.Hope this helps,,

thanks

 

[cqbzxk]

HI THERE
IAA is the internal assessment approach method used to calculate market risk VaR, so calculates market risk charge. It sully utilized the benefits of diversification thereby creating a portfolio of market securities.The diversification reduces the overall risk and therefore the var.Its one of the internal approaches used by the banks to assess the Var required to face the market risk arising from the market assets held by the bank in their portfolio of assets. I think IRB approach is for credit risk charge calculations.Hope this helps,,

thanks

thanks for replying my question, but my confusion is about which part of capital ( market, credit, or operational) responsible for Securitization, for example, there are two approach for securitization, standard approach and IRB(but under IRB we choose RBA SF or IAA), so I we use Standard approach to calculate the capital, then we put this capital to which part? Market risk charge or credit risk charge? thanks

 

[ShaktiRathore]

visit the link:
http://www.oenb.at/en/img/appendix_b_englisch_06122004_tcm16-23500.pdf

thanks