Risk Quantum/Rabobank
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
Capital structures vary across EU banks
Median lender's capital stack is 75% CET1, 10% AT1, and 15% Tier 2
European banks op risk losses dominated by business failures
Losses relating to accident and neglect account for 38% of op risk losses at eight big dealers
Italian banks hardest hit by IFRS 9 transition
Risk Quantum analysis of 36 banks from 11 European Union countries found that capital declined on average by 34bp between December 31, 2017, and March 31, 2018