QIS3 results released by Basel Committee

A paper outlining the results of the third quantitative impact study (QIS3) was released by the Basel Committee on Banking Supervision yesterday.

The release of the QIS3 data will help explain some of the choices that the Basel Committee made in its third consultative paper (CP3), released last week.

The Basel Committee said the key changes it made to the CP3 as a result of QIS3 included a lower risk weight of 35% for residential mortgages, and a recognition that past due loans with significant levels of provisioning warrant a lower risk weighting than 150% on the net amount remaining. The Committee also introduced another operational

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

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The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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