Basel to allow IRB models for low-default portfolios

Impact studies showing significant capital increase prompted committee rethink

William Coen: aiming to "reduce RWA variability to restore confidence in the risk-based capital ratios"

The Basel Committee on Banking Supervision is backing away from requiring banks to use a punitive standardised approach to calculate capital held against low-default credit exposures, and will instead allow a constrained internal models approach, according to sources.

The governors and heads of supervision (GHOS) who oversee the committee met and issued a press release on September 11, reiterating their intention to ensure the new rules were "not significantly increasing overall capital

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