CEBS releases report on current supervisory practices on large exposures
The report represents the first step in a review of the large exposures framework. “Consideration of the commonalities and divergences identified will form an important aspect of the next stage of the work. A further key step, which is currently in progress, is a thorough consideration of industry practices in relation to the measurement and management of large exposure and concentration risk,” CEBS stated on its website.
Due to Basel II requirements, CEBS found that the large exposures rules will need to be reviewed to take into consideration new market practices in the risk management of large exposures and the interrelationship between the measurement of these exposures in Pillar I and the Pillar II rules on concentration of risk.
CEBS is conducting a public consultation on Pillar II guidance with regard to concentration risk, which is also being addressed by the Basel Committee.
Click here to see the report in full.
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