Analysing Revisions to the Standardised Approach in Credit Risk : Evidence from Sovereigns

• Autorzy: Lukasz Prorokowski
• Języki publikacji: EN

Abstrakty

EN

In December 2015, the Basel Committee on Banking Supervision issued an updated consultative paper that proposes new standards for the standardised treatment of credit risk exposures in the banking book. Reviewing the proposed changes to calculating risk weights, this paper advises on areas that require further improvements from regulators and policymakers, and immediate attention from practitioners. The paper empirically tests for a trade-off between various methodologies of calculating risk weights for sovereign exposures under the standardised approach for credit risk. In doing so, the paper highlights large discrepancies in the risk-weighted capital caused by choosing different calculation methods prescribed by the revised standards. The paper concludes that the standards for the standardised treatment of credit risk require further amendments to address the issues revolving around different capital levels for the same exposure. (original abstract)

Słowa kluczowe

EN

Bank supervision; Standardization; Credit risk

PL

Nadzór bankowy; Standaryzacja; Ryzyko kredytowe

• Czasopismo: Bank i Kredyt
• Rocznik: 2017
• Numer: nr 3
• Strony: 235--261

Twórcy

autor

Lukasz Prorokowski

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