Basel report proposes curbs on bank modelling choices
Differences in modelling choices by banks are having a significant impact on risk-weighted assets, meaning regulators should consider cutting down banks' modelling options, according to a report published today by the Basel Committee on Banking Supervision.
Due to limitations in public and supervisory data collection, the Basel Committee's Trading Book Subgroup conducted a "hypothetical test portfolio exercise" in collaboration with 15 internationally active banks. They found wide variation in
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