Industry offers alternative to simplified securitisation capital formula

The Basel approach is criticised as inconsistent, prompting a group of quants to develop an alternative


A group of quants has developed an alternative to the Basel Committee on Banking Supervision's proposed simplified supervisory formula approach (SSFA) for securitised assets in the banking book, in an attempt to make it more consistent with the advanced method.

The Basel Committee published the proposed changes to its securitisation framework on December 18 last year, which included a modified supervisory formula approach (MSFA) for banks using internal ratings-based (IRB) models, as well a new

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