BCBS D363

Definition

BCBS D363 is a document published by the Basel Committee on Banking Supervision on April 2016 in the Credit Risk category.

Title

Regulatory consistency assessment programme (RCAP) - Analysis of risk-weighted assets for credit risk in the banking book.

Abstract

This reportis the second by the BaselCommittee to analyse variation in risk-weighted assets (RWA) in banks using internal ratings-based models to calculate credit risk capital requirements. The studyevaluates two types ofrisk estimates. First, it considers those risk estimatesused for exposures to retail customers and small and medium-sized enterprises. Second, it exploresthe way banks evaluate the likely exposure at default across all asset classes.

This report is part of the Committee's wider Regulatory Consistency Assessment Programme (RCAP), which is intended to ensure consistent implementation of the Basel III framework. Its analysis of regulatory outcomes complements other reports by the Committee on variation in RWA for market risk and counterparty credit risk, as well as an earlier report on RWA variation for credit risk published in July 2013.

During this study, the Committee observed different practices in the way that banks ensure independent evaluation of credit risk models used to calculate capital requirements. The report describes sound practices observed in banks' independent model validation functions, including the governance of the validation process, the methodology and scope of banks' validation functions and the role of the validation function across different phases of model development and implementation.

Document Profile

Publication Date: April 2016
Publication Type: Implementation Reports
Publication Status: Current
Publication Category: Credit Risk
Number of Pages: 52
Keywords: Banking Book, Credit Risk

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