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  1. Point in time
    2008-11-06

advanced IRB approach

37one of the following:

  1. (a) (in relation to the sovereign, institutional and corporate IRB exposure class) the approach under the IRB approach under which a firm supplies its own estimates of LGD and conversion factors;
  2. (b) (where the approach in (a) is being applied on a consolidated basis) the method in (a) as applied on a consolidated basis in accordance with BIPRU 8 (Group risk - consolidation); or
  3. (c) when the reference is to the rules of or administered by a regulatory body other than the FSA, whatever corresponds to the approach in (a) or (b), as the case may be, under those rules.