How long for a portfolio to be eligible for IRB?
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Bit of an edge case here.
Our client used to lend to a particular sector for many years – however 2-3 years ago they sold the portfolio.
Since then though, they have decided to re-enter the market and hope to develop an IRB model (they retain access to their own historical data).
Has anyone seen a similar case, and how long did the bank have to wait until they were able to achieve IRB compliance?
Bonus points for UK regulated bank answers