ECB data spotlights credit risk-weight disparities

Weightings applied to standardised approach exposures far exceed those for IRB equivalents

Risk-weightings applied to credit exposures by the internal models of major eurozone lenders are generally far lower than those set by the regulator-set standardised approaches, data from the European Central Bank shows.

Across 113 top banks, the risk-weight applied to corporate exposures covered by their internal ratings-based (IRB) models was 45% as of Q4 2019. In contrast, those covered by the standardised approach had a risk-weight of 92%.

Risk-weights for IRB retail exposures were 28% and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here