NAIC chair considers ratings alternative

The US National Association of Insurance Commissioners is considering removing nationally recognised statistical rating agencies (NRSROs) from the determination of its commercial mortgage-backed security capital requirements.

Kermitt Brooks, first deputy insurance superintendant for New York State Insurance Department in addition to his role at the NAIC, said that after evaluating the performance of its new agency-independent capital requirement regime for residential mortgage-backed securities

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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