At 40% of EU banks, credit risk own-funds deviate from benchmarks

Eleven banks lowballed capital requirements without justification in latest exercise

European supervisors judged that two in five banks used credit risk models that produced own-funds requirements that were out of kilter with expectations in 2019, data from a European Banking Authority study shows. One in five used models that underestimated their capital requirements without justification.

As part of the EBA’s annual supervisory benchmarking exercise (SVB), national authorities are required to assess whether their supervisees’ credit risk capital requirements are adequate in

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