Europejski Urząd Nadzoru Bankowego, Raport EBA dot. analizy porównawczej ryzyka kredytowego w 2021 r.

EBA/REP/2022/04

EBA REPORT RESULTS FROM THE 2021 CREDIT RISK BENCHMARKING EXERCISE

The variability of risk-weighted exposure amounts (RWA) for institutions applying the internal ratings-based (IRB) approaches has remained rather unchanged despite the COVID-19 pandemic and despite the model changes which institutions implemented for achieving compliance with the IRB roadmap.

Given the COVID-19 pandemic and the different pace at which banks implement (or have implemented) changes to their IRB approaches for achieving compliance with the IRB roadmap1 and for implementing model changes triggered by the TRIM2 exercise, a more significant increase in variability of RWA could have been expected. The usual top-down approach, which assessesthe variability of RWA on increasingly homogeneous portfolios, indicates however that the general variability has decreased, while the share of unexplained variability has remained rather stable (a slight increase has been observed).

Impact of the COVID-19...