Basle working group suggests "pragmatic" approach to credit risk expected losses
BASLE, SWITZERLAND -- A working group of the Basle Committee of banking supervisors has proposed "a pragmatic approach" to treating expected losses in arriving at a capital charge for credit risk under the internal ratings based (IRB) approach of the proposed Basle II banking accord.
The Basle Committee noted that the IRB approach as outlined in its January consultative paper on Basle II entails capital charges being calibrated to cover both unexpected and expected credit losses in loan
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