IRB approaches cover two-thirds of European bank credit risk

Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs

The share of total credit risk-weighted assets calculated by systemic European banks using internal ratings-based approaches was 69% on average in 2018.

A survey of the 13 global systemically important banks (G-Sibs) in the eurozone, UK and Switzerland reveals a broad dispersion of IRB approach RWA shares, from 41% to 91% at end-2018, largely static on the 2017 split.

Santander had the lowest percentage of credit RWAs calculated under IRB approaches, and Credit Suisse the highest.  


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