Basel Committee flags further issues with bank modelling
Report finds "wide variation" in some aspects of modelling
The Basel Committee on Banking Supervision's (BCBS) latest study of bank modelling, published today (April 1), sheds new light on the sources of variation in risk weights.
As the second such study, it took a new approach, focusing on actual data rather than hypothetical portfolios. The committee studied banks' internal ratings-based approaches to modelling probability of default (PD), loss given default (LGD) and exposure at default (EAD) for retail and SME exposures. It also examined variation
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