Details

  • Service: Audit
  • Industry: Financial Services, Banking
  • Date: 1/5/2016

Regulatory Alert Standardised Approach for Credit Risk: almost back to where we started 

The Basel Committee on Banking Supervision has issued a second consultative document (for comments by 11 March 2016) on Revisions to the Standardised Approach for credit risk.

The latest proposals differ significantly from the initial set of proposals published by the Basel Committee in December 2014. The Basel Committee is now proposing to reintroduce the use of ratings for exposures to banks and corporates, albeit less mechanistically than currently, and with alternative approaches for unrated exposures and for jurisdictions that do not allow the use of external ratings for regulatory purposes. The proposed risk weighting of retail and commercial real estate loans has also been modified, with the loan-to-value ratio as the main risk driver.

 

This article analyses the exposures to banks, corporates, real estates and other retail in more details.