The Revised Market Risk Framework (FRTB): How much is too much?
Risk regulations as well as financial reporting require banks to measure expected loss for its products. Though obvious synergies are expected between their measurements in Basel III and IFRS 9, the usability of components from one to the other would require significant adjustments. The European Banking Authority is working towards bridging this gap between Risk and Finance functions within banks. EBA, in its guidelines on 26th July 2016, intends to follow Basel Committee of Banking Supervision’s supervisory guidance on ensuring sound credit risk management practices on implementing and applying IFRS 9 impairment models.
In this whitepaper, Copal Amba explains various aspects of IFRS 9 impairment modeling in detail along with modeling suggestions on the challenges posed, and its differences in modeling requirements compared to Basel III.
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