Basel Committee may look to floors and fixed parameters

Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices

Good apples and a rotten apple
BCBS finds notable outliers in RWA study

The Basel Committee on Banking Supervision may become more rigid in the setting of risk parameters and capital floors, after a report showed a lack of appropriate data and differing modelling practices within banks are key factors behind variations in risk-weighted assets (RWAs) for credit risk in the banking book.

The problem is particularly acute for low-default sovereign portfolios, where the Basel Committee found a lack of reliable, long-term data is resulting in banks assigning very

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