EU proposes rules for correlation and Alt-TSA

BRUSSELS - August proposals to further amend the Capital Requirements Directive (CRD) have added to the changes now slated to affect the Basel II operational risk approaches of EU banks. The proposal aims to remove loopholes allowing national regulators to disregard and discourage innovation in two areas: the use of correlation for capital discounts, and the alternative standardised approach (Alt-TSA).

The Alt-TSA differs from the normal standardised approach (TSA) by allowing two of the eight b