Basel Committee may look to floors and fixed parameters

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 differe

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: