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Quantitative
Impact Study (QIS)
The feedback form the industry on the second consultative document,
following which the Basel Committee issued the third Quantitative Impact
Study (QIS3) in October 2002. This addressed the concerns form the
industry and consequently significant changes were made to the previous
proposals.
The main changes for Retail Portfolios are;
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The application of default definition at product or facility level
rather than customer level.
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The Retail Portfolios were segmented as follows;
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Qualifying
Revolving Exposures |
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Residential
Mortgage Exposures |
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Other
Retail Exposures |
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Separate risk weight functions are given for each segment which
include varying degrees of exposure correlation.
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The inclusion of SME's with in the Retail Definition of exposure
form enterprises where the bank has a total exposure of less then a
million euros.
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At the supervisor's discretion, the relaxation of minimum data
requirements for implementation of of Advanced Internal Ratings Based
(IRB) approach.
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The allowance of scoring models including behavioural scoring to
predict the PD, EAD and LGD.
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SLA Consulting Limited
The Risk and
Information Strategist |