Valuation model risk on the rise at EU banks

Over two-thirds of fair value assets priced using banks' models

The share of European bank portfolios subject to model risk is on the rise, partly due to the new system of accounting for credit assets introduced at the start of last year.

At end-June 2018, €5.2 trillion ($6 trillion) of assets were classified as either level 2 or level 3 under IFRS 13 fair value measurement accounting rules, according to data published by the European Banking Authority (EBA). This means they lacked quoted prices in active markets to determine their valuation, and were

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here