Capital requirements Internal models Low default portfolio

This article mainly summarises the content of a talk that Susanne Roehrig held at the Financial Forum in April last year. First it provides an overview of the general mechanics and relevant policies for the calculation of minimum capital requirements for credit risk. In the following the Article focuses on the assessment of capital requirements based on internal models (IRB) as mandated in Article 78 the CRD. This assessment includes a benchmarking exercise and entails tasks for EBA as well as for competent authorities. The methods and key results contained in EBAs report on the results from the 2017 Low defaults portfolios (LDP) exercise are summarised and some, more recently published results of the EBA Report on the results from the 2018 low and high default portfolios exercise are referred to. Lastly a possible amendment of the focus of EBAs benchmarking exercise as regards credit risk is discussed.


Roehrig susanne

Susanne Roehrig

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