Citi’s credit risk measures diverge
Standardised RWAs rise; modelled RWAs fall in Q1 2019
Estimates of Citi's credit risk as gauged using the regulator-set standardised approach and the bank’s own models moved in opposite directions in the first quarter.
Credit risk-weighted assets calculated under the standardised approach climbed 1% quarter-on-quarter to $1.1 trillion, but dropped around 1% under the advanced approach to $753 billion.
Year-on-year, standardised credit RWAs have fallen $7.5 billion, and under the advanced approach $37.7 billion.
Market RWAs decreased under both
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