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WebThis variable is obtained from the Basel IRB formula to establish the minimum capital requirements for credit risk (FIRB approach). For each exposure l of bank i, the IRB formula establishes capital requirement CR i, l to cover the unexpected losses in the time horizon of one year for a 99.9% confidence level, as follows: Webassets.kpmg.com WebAbbreviations A-IRB Advanced Internal Ratings-Based approach (i.e. using own estimates of loss given default and conversion factors) BCBS Basel Committee on Banking Supervision CAI Cash Assimilated Instrument CB Central Bank CCF Credit Conversion Factor CCR Counterparty Credit Risk CG Central Government COREP Common … pokemon blue cheats gameshark