Oliver Wyman Secured exposures IRB Survey
Internal Ratings Based (IRB) Discussion
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In the evolving financial and regulatory landscape, UK banks face critical challenges in enhancing their Internal Ratings-Based (IRB) model suites, particularly for Mortgage exposures
A survey was conducted in Q2 2025 by an Oliver Wyman-4most partnership to gather insights on IRB strategies across UK institutions with significant mortgage exposures
Topics covered in this survey include:-
Status of IRB Model Suite: Approval status of their IRB models and any specific challenges raised by the PRA
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Quantum of change between model suites: Insights into changes between PRA-approved and incumbent model suites
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Distribution of Risk Weights by DTV: Analysis of risk weight distribution in their secured portfolio
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