Use of PIT model neutralises impact of counter-cyclical capital buffer

abacus2

Banks using a point-in-time (PIT), rather than a through-the-cycle (TTC) model, for calculating capital under the internal ratings-based approach to credit risk could neutralise the impact of the counter-cyclical capital buffer, according to research by the Hong Kong arm of consultancy Accenture.

Concerns that the prevailing approach to bank regulation resulted in pro-cyclical application of capital charges, which amplified the impact of the financial crisis, led the Basel Committee to propose

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

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 individual account here