Risk.net

Risk.net

Risk.net cites Credit Benchmark analysis on BCBS credit risk capital modelling consultation

An analysis by Credit Benchmark on the Basel Committee’s proposed limits on credit risk capital modelling supports the banking industry’s view that internal models remain more accurate than standardised approaches.

Risk.net interviewed David Carruthers, Head of Research at Credit Benchmark and quoted data from Credit Benchmark’s response submission to the BCBS request on “Reducing variation in credit risk-weighted assets – constraints on the use of internal model approaches“. Credit Benchmark’s analysis supports the internal models approach.