Take-up of credit modelling varies at European banks

The proportion of credit risk-weighted assets (RWAs) calculated using standardised and internal ratings-based (IRB) approaches varies wildly across European banks, Risk Quantum analysis shows.

A survey of the 14 global systemically important banks (G-Sibs) in the European Union and Switzerland reveals the percentage of credit RWAs generated using IRB approaches, which utilise banks' own internal models, ranged from 42% to 91% at end-2017.

Santander had the lowest percentage of credit RWAs

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