advanced not Advanced at Macquarie

Macquarie Bank either did not apply for advanced accreditation for credit risk under the  Basel II with APRA or APRA knocked back the bank's application.

Macquarie Bank received agreement from APRA to apply the foundation internal ratings-based approach to working out credit risk and the advanced measurement approach for operational risk.

If this newsletter's understanding of the detail is correct here, this means either Macquarie or APRA were happy with the bank's methods of working out the "probability of default" in the analysis of credit risk.

However, either Macquarie or APRA is unhappy with the bank's ability to model the "loss given default" and the "exposure at default". Macquarie will have to apply some alternative, simplified formulas instead of relying on its own modelling (though just for regulatory capital purposes).