Associations to perform economic capital model convergence study

According to the response to the US's advance notice of proposed rulemaking (ANPR), written jointly by the Bond Market Association (BMA) and the International Swaps and Derivatives Association, a number of trade associations are organising a study on the convergence of economic capital models.

The study was prompted by the desire of many banks to use internal credit risk economic capital models to set their regulatory capital in the advanced internal ratings-based approach (A-IRB) under the Basel II framework. At the moment, banks under the A-IRB must use the framework outlined by regulators in the revised Basel Accord, although the Basel Committee on Banking Supervision has said it is willing to consider the use of internal models at a future date. US regulators specifically