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On November 11, 2015, the Prudential Regulation Authority published an updated Supervisory Statement on the Internal Ratings Based approaches to credit risk under the CRR.
On November 11, 2015, the Prudential Regulation Authority
published an updated Supervisory Statement on the Internal Ratings
Based approaches to credit risk under the CRR. This is the approach
under which certain banks and investment firms with sophisticated
risk management systems are allowed to calculate capital
requirements based on internally produced parameters. Amongst other
things, expectations that have been superseded by decisions or
technical standards adopted by the European Commission have been
deleted, including on third country equivalence, and expectations
for the notification of changes to IRB rating systems have been
amended.
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