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S&P to release report on use of data in IRB systems
Standard & Poor’s (S&P) will shortly release a white paper concerning the use of the company’s ratings default data in internal ratings systems for low default portfolios. S&P, expected to offer the report on general release next week, examines the application of the company’s rating default and migration data in a bank’s internal ratings-based (IRB) systems.
In the report, S&P questions the methodological consistency that a bank’s IRB systems could accurately predict S&P’s ratings on currently unrated banks. The report provides a comparison of the company’s own approach to other IRB systems.
To receive a copy of the report before it goes on general release, email Florence Henderson at S&P.
BaselAlert.com
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