Risk USA: Regulators called on to restrict loan modelling choices
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
Bank regulators should reduce the gulf between banks' risk-weighted asset (RWA) numbers by reining in modelling choices, delegates at Risk USA heard today. Other options - like returning to notional loan numbers or a single regulatory formula - are not workable, according to Steve Bennett, executive director for the Pan-European Credit Data Consortium (PECDC), who was speaking at the event in New York. The PECDC is a non-profit, bank-run venture that pools loss data for its members.
RWA
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