IRB Mortgage Risk-Weight ‘Snapshot’ Survey 2024
PwC’s snapshot survey provides a summary of mortgage risk-weight outputs from the latest iteration of hybrid IRB rating systems
The industry is continuing to face challenges over Internal Ratings-Based (IRB) Hybrid model suites for residential mortgage portfolios. A majority of firms are still waiting on the final outcome of their regulatory submissions, with multiple rounds of feedback received, whilst continuing to hold sizeable temporary model adjustments (TMAs).
Given the interest from a number of firms for greater granularity in the key drivers of risk weight (RW) variability for mortgages, PwC has performed a component-level market survey, following on from our recent Hybrid IRB risk weight snapshot survey.
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