Risk Quantum/Nordea
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Over one-quarter of EU bank credit exposures overseas
Spanish banks exhibit highest level of overseas risk, Nordic banks the lowest
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
Nordea de-risking improves loan-loss ratio
Provisions down €73 million year-on-year