Model flaws continue to dog ABN Amro
Penalties imposed as part of the European Central Bank’s (ECB) targeted review of internal models (Trim) inflated ABN Amro’s credit risk-weighted assets (RWAs) by €5.3 billion ($5.8 billion) in Q4, capping a year full of regulatory add-ons.
The Dutch lender ended 2019 with credit RWAs of €89.1 billion, up +4% on end-September and +5% year on year. The Trim-related uplift was offset slightly by business changes and tweaks to the risk-weighting of equity holdings.
Since Q4 2018, ABN Amro has
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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
Derivatives
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Receive this by email