In January 2016, it was agreed that the BCBS would complete its work to address the problem of excessive variability in risk-weighted assets (RWAs) by the end of 2016.
In this regard, and aiming at reducing the complexity of the regulatory framework and improving comparability and addressing excessive variability in the capital requirements for credit risk, the BCBS issued a consultation document in March 2016 including constraints to the use of internal models for credit risk, open for consultation until 24 June 2016. Specifically, the BCBS proposes to:
This document prepared by Management Solutions R&D department analyses the proposed changes to the advanced internal ratings based approach (A-IRB) and the foundation internal ratings based approach (F-IRB).
This consultation document sets requirements regarding the use of internal models, parameter floors, output floors and parameter estimation. The final calibration of the proposals will be informed by a QIS.
Scope of application:
Banks that use internal models as inputs for determining their regulatory capital requirements for credit risk.
Download the technical note by clicking here
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© GMS Management Solutions, S.L., 2017. All rights reserved. The information contained on this publication is of a general nature and does not constitute a professional opinion or an advisory service. The data used in this publication come from public sources. GMS Management Solutions, SL assumes no liability for the veracity or accuracy of such data.