文档介绍：Annex 2
Standardised Approach - Implementing the Mapping Process
1. Because supervisors will be responsible for assigning eligible ECAI’s credit risk assessments to the risk weights available under the standardised approach, they will need to consider a variety of qualitative and quantitative factors to differentiate between the relative degrees of risk expressed by each assessment. Such qualitative factors could include the pool of issuers that each agency covers, the range of ratings that an agency assigns, each rating’s meaning, and each agency’s definition of default, among others.
2. Quantifiable parameters may help to promote a more consistent mapping of credit risk assessments into the available risk weights under the standardised approach. This annex summarises mittee’s proposals to help supervisors with mapping exercises. The parameters presented below are intended to provide guidance to supervisors and are not intended to establish new plement existing eligibility requirements for ECAIs.
Evaluating CDRs: two proposed measures
3. To help ensure that a particular risk weight is appropriate for a particular credit risk assessment, mittee mends that supervisors evaluate the cumulative default rate (CDR) associated with all issues assigned the same credit risk rating. Supervisors would evaluate two separate measures of CDRs associated with each risk rating contained