Basel plans modelling curb for billions in credit RWAs
Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig
International regulators have proposed a series of constraints on the way banks model capital requirements for loan portfolios and other credit risk exposures - part of an ongoing drive to limit the use of models and produce more comparable risk-weighted asset (RWA) numbers between banks.
The Basel proposals, which were issued today (March 24), would remove the option to use internal ratings-based
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Op risk data: FIS pays the price for Worldpay synergy slip-up
Also: Liberty Mutual rings up record age bias case; Nationwide’s fraud failings. Data by ORX News
Banks hold 73% of liquidity buffer in cash and Level 1 assets, on average
Largest lenders hold highest share of central bank reserves in buffer, latest analysis shows
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
Allocating financing costs: centralised vs decentralised treasury
Centralisation can boost efficiency when coupled with an effective pricing and attribution framework
EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators
Banks split over AI risk management
Model teams hold the reins, but some argue AI is an enterprise risk
Collateral velocity is disappearing behind a digital curtain
Dealers may welcome digital-era rewiring to free up collateral movement, but tokenisation will obscure metrics
New EBA taxonomy could help integrate emerging op risks
Extra loss flags will allow banks to track transversal risks like geopolitics and AI, say experts
