Company: Moody's Analytics
Category: Basel III
Published: 13 December 2016
There has been a lot of news analysis regarding the Basel Committee’s direction to revert back to standardized approaches to assess risk-weighted assets, including constraints on the use of internal model approaches when assessing structured securities within the credit risk capital framework.
While the impacts of this proposal may change the way internal models are formulated and utilized by banking institutions in structured securities analysis, we do not believe they will be abandoned anytime soon.
This white paper focuses on the proposed changes and their implications for calculating credit risk capital, as well as the proposal’s integration with Basel’s other recent revisions and upcoming initiatives. The paper also discusses what next steps are expected with regard to this proposal.