BCBS WP22

Definition

BCBS WP22 is a document published by the Basel Committee on Banking Supervision on January 2013 in the Credit Risk category.

Title

Foundations of the Proposed Modified Supervisory Formula Approach.

Abstract

This technical paper describes the modelling framework underlying the Modified Supervisory Formula Approach (MSFA) as proposed in the Basel Committee's recent consultative paper Revisions to the Basel Securitisation Framework. In contrast to the current Basel securitisation framework's Supervisory Formula Approach (SFA), which assumes a one-year maturity for the underlying pool of securitised loans, the MSFA is based on an underlying Expected Shortfall, mark-to-market framework for setting regulatory capital. This mark-to-market underpinning, along with other key assumptions, is intended to render the MSFA more consistent with the Basel's Internal Ratings-Based (IRB) framework for wholesale exposures.

Document Profile

Publication Date: January 2013
Publication Type: Working Papers
Publication Status: Current
Publication Category: Credit Risk
Number of Pages: 42
Keywords: Credit Risk, Underlying Pool, Attachment Point, Seniority, Expected Loss, Tranche, Basel Securitisation Framework, Maturity, Capital Requirement, Detachment Point, Calibration, Risk Weight, Thickness, Supervisory Add-on

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