Ahead of the 3rd Edition IRB Models, the Standardised Approach for Credit Risk, and Capital Floors Conference, we spoke with Gottfried Gruber, Senior Examiner, On-Site Supervision Division at Oesterreichische Nationalbank, about how IRB models can be best developed for low default portfolios.
When IRB models were introduced by Basel II around 2004 the idea was to achieve a more risk sensitive approach to calculate capital requirements for credit risk. The Basel Committee then recognized the impor
