Impact of Capital Rules on Risk Rating Systems

Publisher: ACTICO

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Impact of Capital Rules on Risk Rating Systems

The rapidly evolving bank regulatory environment – particularly Basel II and Basel III capital requirements and stress testing – in addition to ongoing pressure to strengthen internal controls are placing new and costly burdens on credit risk modeling. Banks utilizing the Internal Ratings-Based (IRB)approach for calculating capital requirements must build flexibility into their risk rating platforms to respond quickly to changes in market conditions and regulations.