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Philippe Bordenave, chief operating officer at BNP Paribas |
The SSM’s judgement about whether or not there is excess variation in the calculation of risk-weighted assets between banks for similar portfolios is pending as it plans to review 7,000 models over four years. The UK, US and Basel have become more wary of the internal ratings-based (IRB) approach to calculate bank capital requirements for credit risk, arguing excessive variance between bank models is, at times, motivated by a desire to flatter capital ratios rather than a legitimate difference of opinion on credit risk.
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