IRB risk-weights highest at smallest EU banks – ECB

Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios

Internal credit models at the smallest banks supervised by the European Central Bank consistently produce higher risk-weights than at larger peers, a divergence that was underscored further as volatility swept markets in 2022.

As of end-September, the risk density for exposures calculated using the internal ratings-based (IRB) approach at lenders with less than €30 billion ($32.4 billion) in assets was between two and 22 percentage points higher than for aggregates across banks of all sizes

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