Advanced IRB Specification¶

Advanced IRB calculation with internal LGD and CCF estimates.

Regulatory Reference: CRR Articles 153-154

Test Group: CRR-C

Requirements Status¶

Overview¶

A-IRB uses the same capital requirement formula and correlation functions as F-IRB, but the bank provides its own estimates for LGD and (optionally) maturity and CCF, rather than using supervisory values.

Key Differences from F-IRB¶

LGD Floors (Basel 3.1 Only)¶

Under CRR, A-IRB has no LGD floors. Under Basel 3.1, the following floors apply:

FI Scalar¶

The 1.25x correlation multiplier for large/unregulated financial sector entities applies equally to A-IRB and F-IRB (Art. 153(2), CRE31.5). The 1.25 factor is applied to the asset correlation coefficient R, which has a non-linear effect on the capital requirement K.

Calculation¶

The capital requirement formula, correlation functions, maturity adjustment, and RWA computation are identical to F-IRB. See F-IRB Specification for full details.

Post-Model Adjustments (Basel 3.1)¶

Mortgage Risk Weight Floor (Art. 153(5A) / Art. 154(4A))¶

Basel 3.1 introduces a minimum risk weight floor for UK residential property exposures under IRB:

• Default floor: 15% (configurable via PostModelAdjustmentConfig.mortgage_rw_floor)
• Scope: All IRB exposures secured by UK residential immovable property
• Formula: floor_adjustment = max(0, floor_rw - modelled_rw) × EAD
• RWEA: RWEA_adjusted = RWEA_modelled + floor_adjustment
• Reported: COREP column 0253 (adjustment for mortgage RW floor)

General Post-Model Adjustments (Art. 158(6A))¶

Firms must apply post-model adjustments (PMAs) to compensate for known model deficiencies:

• PMA on RWEA: RWEA_adjusted = RWEA_modelled × (1 + pma_rwa_scalar)
• PMA on EL: EL_adjusted = EL_modelled × (1 + pma_el_scalar)
• Reported: COREP column 0252 (adjustment for post-model adjustments)

Key Scenarios¶

Acceptance Tests¶