Prorokowski, Lukasz; Prorokowski, Hubert; Bongfen Nteh, … - In: Journal of Financial Regulation and Compliance 27 (2019) 3, pp. 280-302
Purpose: This paper aims to analyse the recent changes to the Pillar 2 regulatory-prescribed methodologies to classify and calculate credit concentration risk. Focussing on the Prudential Regulation Authority’s (PRA) methodologies, the paper tests the susceptibility to bias of the...
