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.

The original article, published on Risk.net is available at: http://www.risk.net/risk-magazine/news/2462349/banks-reject-basel-s-irb-data-shortage-claim

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Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk. Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.