Some EU banks can’t explain lowball credit model outputs

About one in five European banks’ models underestimate their credit risk without just cause, the results of a 2019 supervisory benchmarking exercise (SVB) shows.

Modelled capital requirements for an average credit portfolio were observed to be below benchmark levels without good reason at 20% of banks covered by the European Banking Authority’s (EBA) questionnaire.

Such so-called “negative deviations without justification” were most widespread for ‘corporate – other’ portfolios. Twenty-five

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: