Standardised market RWAs on the rise at EU banks
Market risk-weighted assets (RWAs) calculated using the regulator-set standardised approach (SA) increased by €4.7 billion ($5.4 billion) at the European Union’s biggest banks in the 18 months to end-June. Meanwhile, those generated using the internal models approach (IMA) fell €23 billion, Risk Quantum analysis shows.
Of aggregate market RWAs across the 12 banks sampled, standardised assets accounted for 21% of the total at the end of the second quarter, up from 16% at end-2016.
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