Big European banks cut credit risk-weighted assets by €556 billion from 2015 to 2017, with exposures assessed under regulator-set standardised approaches shrinking faster than those calculated using internal models.
A survey of the 14 global systemically important banks (G-Sibs) in the European Union and Switzerland reveals that internal ratings-based (IRB) credit RWAs, generated using banks’ own models, fell €263 billion, or 10%, over the three years, while standardised RWAs dropped €293
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