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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.

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Model charges

Large banks in the EU continued to absorb capital add-ons in response to scrutiny of their internal risk models in the last quarter of 2020. A number expect to take further such charges this year, too. Dozens of top lenders were subject to on-site assessments under the ECB’s Targeted Review of Internal Models from 2016 through 2020. Some were saddled with capital add-ons following these to address the “unwarranted variability” of their model outputs compared with benchmarks.

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