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Revisions to the Standardised Approach for credit risk: Basel Committee issues second consultative document
Basel Committee sets up both a Technical draft and a 2016 QIS (quantitative impact study) in order to describe a new SA methodology. This implies principally not relying on CRAs’ work, but using it just as a conceptual base, followed by a deep single exposure/asset class “ad hoc” due diligence process. It will lead to more realistic, comparable, deep results than a mechanical using of CRAs in Risk Management activities. Due Diligence processes will be conducted under two or more pillars, such as CET1 Tier One and Asset Quality Review (AQR). New AQR will involve new different principles and constraints related to different clusters of exposures/asset class. The revised proposals form part of the Committee's broader review of the capital framework to balance simplicity and risk sensitivity, and to promote comparability by reducing variability in risk-weighted assets across banks and jurisdictions.