The uses (and abuses) of modelling adjustments | AFME


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The uses (and abuses) of modelling adjustments
15 Mar 2016
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AFME has commissioned a report from Europe Economics investigating the evidence for and against strategically-motivated interventions in banks’ internal ratings-based models. Based on publically disclosed Pillar 3 data and the annual reports of EU banks and using the parameter most likely to capture strategic interventions in IRB models in RWA flow statements, the study found no evidence that banks use their models to game RWA outcomes.