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 Amongst other things, expectations that have been superseded by decisions or technical standards adopted by the European Commission have been deleted, including on third country equivalence, and expectations for the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.
The updated Supervisory Statement is available at: http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1113update.pdf.
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