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Bank for International Settlements BIS

An Explanatory Note on the Basel II IRB Risk Weight Functions

This paper purely focuses on explaining the Basel II risk weight formulas in a non-technical way by describing the economic foundations as well as the underlying mathematical model and its input parameters. By its very nature this means that this document cannot describe the full depth of the Basel Committee's thinking as it developed the IRB framework. For further, more technical reading, references to background papers are provided.

Basel Committee on Banking Supervision BIS

Additional guidance for completing the IRB quantitative impact study

On 24 March 2016, the Basel Committee published its consultation document Reducing variation in credit risk-weighted assets - constraints on the use of internal model approaches. A quantitative impact study (QIS) was launched in April 2016 to collect data on the impact of the proposals.1 As a supplement to the QIS reporting instructions, this document sets out the draft edits proposed at the working group level to the internal ratings-based (IRB) approach for credit risk to give effect to the proposals set out in the consultation document.

Basel Committee on Banking Supervision BIS

High-level summary of Basel III reforms

This note summarises the main features of the finalised Basel III reforms. The standards text, which provides the full details of the reforms, is published separately and is available on the BIS website at www.bis.org/bcbs/publ/d424.htm.