Analysing revisions to the standardised approach in credit risk. Evidence from sovereigns

Lukasz Prorokowski ()
Additional contact information
Lukasz Prorokowski: H.L. Prorokowski LLC

Bank i Kredyt, 2017, vol. 48, issue 3, 235-262

Abstract: In December 2015, the Basel Committee on Banking Supervision issued an updated consultative paper that proposes new standards for the standardised treatment of credit risk exposures in the banking book. Reviewing the proposed changes to calculating risk weights, this paper advises on areas that require further improvements from regulators and policymakers, and immediate attention from practitioners. The paper empirically tests for a trade-off between various methodologies of calculating risk weights for sovereign exposures under the standardised approach for credit risk. In doing so, the paper highlights large discrepancies in the risk-weighted capital caused by choosing different calculation methods prescribed by the revised standards. The paper concludes that the standards for the standardised treatment of credit risk require further amendments to address the issues revolving around different capital levels for the same exposure.

Keywords: standardised approach; credit risk; sovereign exposures; risk weights; capital charge (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://bankikredyt.nbp.pl/content/2017/03/BIK_03_2017_01Prorokowski.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:48:y:2017:i:3:p:235-262

Access Statistics for this article

More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Wojciech Burjanek ().