The BCBS released the consultation paper BCBS 307 in December 2014, in which the standardised approach for credit risk (CRSA) was thoroughly revised. The revision of the CRSA is part of a widespread regulatory initiative to harmonise differences in the calculation of risk-weighted assets (RWA).
A second revised version of the standardised approach for credit risk (BCBS 347) was published in December 2015. The first proposal set out an approach that removed all references to external credit ratings and assigned risk weights based on a limited number of alternative risk drivers. The second revision reintroduced the use of ratings, in a non-mechanistic manner, for exposures to banks and corporates. It will also affect RWA calculations for specialised lending and the use of credit-risk-management techniques (for real estate and financial collateral).
BearingPoint can support you with a number of valuable service offerings. These include, in particular, an early recognition of the new requirements, a sample calculation of the new RWA based on a prototype, as well as a comprehensive integrated solution.