Eurozone G-Sibs’ modelled risk weights well below average

Risk weights for credit exposures generated by systemic eurozone banks’ models are dramatically lower than their peers, Risk Quantum analysis shows.

Figures from the Basel Committee show internal ratings-based approach (IRB) risk weights under current rules averaged 37.9% for global systemically important banks (G-Sibs) and 28.9% for all large, internationally-active European banks. 

But six of the eight current eurozone G-Sibs reported IRB risk weights as of end-2018 below these averages.

 

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