Corporate exposures had the highest risk weightings under the standardised approach for calculating capital requirements for credit risk among big EU banks, a Risk Quantum analysis shows.

The average risk density – calculated by dividing exposures-at-default by risk-weighted assets (RWAs) – for loans to corporates across the 11 EU global systemically important banks (G-Sibs) stood at 93% at end-2018. The higher the risk density, the larger the capital requirement as a proportion of the total