Regulatory Alerts2009-07-14
Added · Updated
Minimum requirements for the use of rating systems
Financial undertakings failing to comply with minimum requirements for rating systems must submit a plan to restore compliance and may temporarily apply conservatism to risk parameters if immediate model improvement is not feasible. DNB may direct the inclusion of extra conservatism into risk estimates, allowing adjustments to be incorporated into the Capital Adequacy template in COREP until the model is validated. This approach applies to entities using the internal ratings-based approach for credit risk.
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