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2nd Edition IRB Models, the Standardised Approach for Credit Risk, and Capital Floors

April 20, 2017 - April 21, 2017

2nd Edition IRB Models, the Standardised Approach for Credit Risk, and Capital Floors

Ensuring the development of exact, effective and efficient modelling processes under the latest regulatory environment

20-21 April 2017
London, United Kingdom

This marcus evans event will provide the opportunity to learn of the latest round of regulation that will impact the models that determine around 70% of a bank’s capital requirements. Hearing the discussion on current modelling strategies will enable decision makers to keep at the cutting edge of the debate and ensure they weigh the impact of these strategies carefully; guaranteeing they deliver the right solution for their business requirements.
Counting the cost of the risk and capital floors implemented by the Basel Committee, alongside the increased capital requirements demanded by the expected loss accounting approach mandated by the IFRS9, has left some banks questioning the ability of internal models to significantly impact their bottom line given the cost involved in building, maintaining and validating these complex models. While these models deliver exceptional risk sensitivity to localised markets compared with the Standardised Approach, their efficacy in terms of reducing the capital requirements of lending structures has come under increased pressure. Under the new regulations, the goal is not only to fine tune current models, ensuring that they continue to grant the best reduction in capital requirements, but also to understand where and how these models can be best utilised to deliver results that justify their expense.