EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
European authorities judge that almost one in six banks included in a recent supervisory benchmarking exercise have flawed credit risk models that underestimate their capital requirements.
Under the Capital Requirements Directive, national watchdogs must assess banks’ model outputs for benchmark portfolios and monitor the variability of own funds between firms at least annually.
Following the most recent assessment, 41% of institutions were found to produce modelled capital requirements for
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