The Basel Committee on Banking Supervision recently published wide-reaching proposals for reducing variation in Credit Risk Weighted Assets, with a call for responses by the end of June. The Credit Benchmark submission aims to quantify some of the possible positive and negative impacts of the BCBS proposals. This report is based on the monthly Ex Ante Probability of Default and Senior Unsecured Loss Given Default data contributed to Credit Benchmark by IRB banks.
In particular, the report identifies:
Download a copy of the report here