Corporate loan RWAs doubled by standardised approach

European banks have to hold over twice as much credit risk capital for corporate loan exposures measured under the regulator-set standardised approach (SA) than they do under advanced internal ratings-based approaches (A-IRB), Risk Quantum analysis shows.

The eight European Union global systemically important banks (G-Sibs) had a combined exposure-at-default (EAD) to corporates captured by the standardised approach of €297 billion ($339 billion) at end-2017. The risk-weighted asset value of

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