Joint Forum releases credit risk report: The Joint Forum of the Basel Committee on Banking Supervision, the International Organisation of Securities Commissions and International Association of Insurance Supervisors has released a report on credit risk management (CRM) across sectors that follows a survey it carried out. It makes the following recommendations:
- it warns against over-reliance on internal models for CRM and regulatory capital;
- supervisors should be alert to the growth of risk-taking behaviours and the resulting need for firms to have appropriate risk management processes;
- supervisors should be aware of the growing need for high-quality liquid collateral to meet margin requirements for OTC derivatives sectors; and
- supervisors should consider whether firms are accurately capturing CCP exposures as part of their CRM.