ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
ABN Amro took a €1.7 billion ($1.85 billion) add-on to risk-weighted assets (RWAs) from an overhaul of its credit risk models, as the bank continues to transition away from the advanced internal ratings-based (A-IRB) approach.
Credit risk RWAs calculated under the A-IRB fell by €16.1 billion, or 25%, to €47.8 billion, marking the lowest level on record. On the other hand, RWAs produced by the foundation IRB approach rose by €18.9 billion, near-tripling to €29.8 billion, the highest level since
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