Banks' Internal Rating Models - Time for a Change? The "System of Floors" as Proposed by the Basel Committee
This briefing paper reviews evidence showing that the adoption of an International Ratings Based (IRB) approach to estimating risk weights by banks has been associated with reductions in average reported risk weights. Several economic studies find that the lower reported risk weights using the IRB methodology to some extent reflect downward risk manipulation by banks. In a system of floors, the purpose of an aggregate output floor should be to prevent wholesale bank-level downward risk weight manipulation, giving rise to effective bank undercapitalization and a heightened probability of bank failure. Input floors can play a useful role alongside an aggregate output floor, if they are targeted to address the problem of potential mismeasurement of risk.
Análisis en profundidad
Autor externo
Harry Huizinga
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Palabra clave
- acuerdo internacional
- análisis económico
- ASUNTOS FINANCIEROS
- Autoridad Bancaria Europea
- Derecho de la Unión Europea
- derivado financiero
- ECONOMÍA
- EMPRESA Y COMPETENCIA
- estadística
- estructura económica
- gestión administrativa
- gestión de riesgos
- inspección bancaria
- instituciones de la Unión Europea y función pública europea
- instituciones financieras y de crédito
- intervención normativa
- libre circulación de capitales
- marco político
- poder de control
- poder ejecutivo y administración pública
- política internacional
- principio de proporcionalidad
- reforma económica
- reglamentación financiera
- RELACIONES INTERNACIONALES
- supervisión financiera
- UNIÓN EUROPEA
- VIDA POLÍTICA