Basel Committee considers limiting bank modelling choices

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The BIS

The Basel Committee on Banking Supervision is considering limiting banks' modelling options, having uncovered further evidence of variation in the outcomes of sophisticated internal models.

The Basel Committee published the results of a study into banks' modelling of counterparty credit risk today (October 1), the last part of the committee's work on trading-related internal models.

In line with results on other aspects of market risk, the study found "considerable" variation in modelling

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