Whitepaper: UK Residential Mortgages Risk Weights PRA Consultation Paper CP29/16

The PRA has proposed a number of changes to the SS11/13 regulation in response to the high level of variability and heterogeneity identified in the risk weights of the UK residential mortgages portfolios under the internal ratings-based approach. The proposed changes incorporate revised expectations in the way the firms/banks should model and calibrate probability of default and loss given default parameters for UK residential mortgages.

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