This course is a DeepDive into the UK regulatory framework around credit risk concentrations and their treatment under Pillar II. The context is provided by Consultation Paper CP1/15 which establishes benchmark Pillar II capital add-on methodologies for all main credit concentration risk categories.
It covers the following topics:
- The UK regulatory context around credit risk concentration and how the issue is represented in requirements and regulatory guidance
- The use of concentration metrics for ICAAP
Course Level and Type:
|Introductory Level||Core Level||Advanced Level|