EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Lenders in the European Union and Canada have a smaller share of their credit risk modelled using internal ratings-based (IRB) approaches than their Australian, Japanese and Swiss peers, Risk Quantum analysis shows.
The median bank out of a sample of 39 large firms had 78% of its credit risk-weighted assets determined using IRB models at end-June 2018.
The median EU bank had 74% of credit RWAs
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