F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
The foundation internal ratings-based approach (F-IRB) used to calculate credit risk capital made inroads at European Union banks during the first half of the year, mostly at the expense of advanced IRB, European Banking Authority data shows.
Across 66 banks sampled by the regulator that use both the standardised and the two IRB approaches, 13% of aggregate credit risk-weighted assets were computed through the F-IRB at end-June, up from 12% at end-December 2021.
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A-IRB RWAs – including
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