The U.S. agencies highlighted similar issues in their public release on QIS4 and have stated their intention to monitor issues related to dispersion very closely in the future, because we want to ensure that the Basel II framework does indeed accurately produce similar capital for similar risk.
The Basel Committee’s release on QIS5 also stated that methodologies and systems for LGD calculation are still being developed and that, as a result, some of the effects of downturns may have been underestimated. The U.S. agencies' release on QIS4 stated that U.S. banks also faced some challenges in estimating downturn LGDs.