papillonring
New Member
Hi
This is wrt to topic Basel II: Intl Convergence of Capital Measurement and Capital Standards.
It says that in the Standardised approach, collateral is not deduct from EAD. But for Foundation and Advanced approach, collateral is accounted for in LGD hence it should NOT be deducted from EAD.
Could you please advise if this is only applicable to banking book products only? Or is it applicable for all products (i.e. banking and trading book)?
As far as I am aware, if I am not wrong, banks are calculating their trading book portfolio exposures with collateral accounted for. These exposures (i.e. EAD) are then used for IRB capital charge calculation.
This is wrt to topic Basel II: Intl Convergence of Capital Measurement and Capital Standards.
It says that in the Standardised approach, collateral is not deduct from EAD. But for Foundation and Advanced approach, collateral is accounted for in LGD hence it should NOT be deducted from EAD.
Could you please advise if this is only applicable to banking book products only? Or is it applicable for all products (i.e. banking and trading book)?
As far as I am aware, if I am not wrong, banks are calculating their trading book portfolio exposures with collateral accounted for. These exposures (i.e. EAD) are then used for IRB capital charge calculation.
