Internal Models Mightn't Be That Good at Measuring Bank Risk After AllBy
IRB-approach underestimated actual losses between 2008-2012
Banks charged higher interest rates under lower capital levels
A system for measuring the riskiness of bank loans that relies on lenders’ own estimates may significantly underestimate the likelihood of default, according to a research paper from the European Central Bank.
To continue reading this article you must be a Bloomberg Professional Service Subscriber.
If you believe that you may have received this message in error please let us know.