Credit risk-weighted assets (RWAs) increased 12% at Credit Suisse and UBS in the year to end-September, with the former adding Sfr14 billion ($14 billion) and the latter Sfr12 billion.
RWAs calculated using internal ratings-based (IRB) approaches, which rely on the banks’ own models, leapt Sfr21 billion in the period in aggregate, while those using the regulator-set standardised approach grew a more modest Sfr4 billion.
The drivers of credit risk within the banks’ IRB portfolios differed.
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