Corporate loan RWAs doubled by standardised approach
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
European banks have to hold over twice as much credit risk capital for corporate loan exposures measured under the regulator-set standardised approach (SA) than they do under advanced internal ratings-based approaches (A-IRB), Risk Quantum analysis shows.
The eight European Union global systemically important banks (G-Sibs) had a combined exposure-at-default (EAD) to corporates captured by the standardised approach of €297 billion ($339 billion) at end-2017. The risk-weighted asset value of
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