Basel may scrap IRB floor

Speaking at Risk magazine’s Credit Risk Summit 2001 conference in New York yesterday, Mitch Stengel, deputy director for credit risk modelling in the risk analysis division of the Office of the Comptroller of the Currency, said, “The 90% floor is such a problem and poses so many burdens that it is virtually dead. I don’t expect it to survive the next round [of changes].”

The industry has roundly criticised the 90% floor in comment letters on the Basel II proposal. Dennis Oakley, managing director at JP Morgan Chase, also speaking at the conference, said, “It simply takes away the advantage of the advanced IRB.”

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