Basel Committee may look to floors and fixed parameters
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
The Basel Committee on Banking Supervision may become more rigid in the setting of risk parameters and capital floors, after a report showed a lack of appropriate data and differing modelling practices within banks are key factors behind variations in risk-weighted assets (RWAs) for credit risk in the banking book.
The problem is particularly acute for low-default sovereign portfolios, where the Basel Committee found a lack of reliable, long-term data is resulting in banks assigning very
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