For years, banks in the European Union have relied on credit risk models to calculate the bulk of their capital requirements. But the heyday of internal credit risk capital models may be over.

Modelling diehards lament the rise of cruder standardised regulator-set metrics in determining capital levels, but even some supporters of the internal ratings-based (IRB) approach think it needs taking down a peg or two, and that the industry needed to rethink its role.

“The IRB rules implicitly assume