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
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