Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
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
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