The International Swaps and Derivatives Association and the International Association of Credit Portfolio Managers (IACPM) have endorsed a credit capital model that suggests regulators should consider an internal models-based approach for the calculation of regulatory capital.
There are growing calls for the Basel Committee to review its guidelines in this area.
Isda and the IACPM based their views on a study carried out over nearly two years. In comparing the results of economic capital mode
The week on Risk.net, October 6-12, 2017Receive this by email