Banks battle to preserve ‘good value’ IRB models

Improving credit risk modelling assumptions could soften Basel's push for input floors

Good supervision relies on benchmarking data in a comparable way between banks

The Basel Committee's proposed amendments to the capital framework for credit risk, published on March 24, will inevitably evoke a strong reaction from banks when they respond before the June 24 consultation deadline. Credit risk accounts for the vast majority of risk-weighted assets (RWAs) on the balance sheets of most banks – often as high as 80% for all but the largest dealer banks.

Divisions between regulators on the value of internal models have been evident for some time. US regulators