Credit portfolios and risk weighted assets: analysis

• Autores: Carlos Trucharte Artigas, Carlos Pérez Montes, María Elizabeth Cristófoli, Alejandro Ferrer Pérez, Nadia Lavín San Segundo
• Localización: Estabilidad financiera, ISSN 1579-2498, Nº. 29, 2015, págs. 65-85
• Idioma: español
• Enlaces
  • Texto completo (pdf)
• Resumen

  • This article analyzes the data on credit exposures and risk weighted assets (RWAs) disclosed by the European Banking Authority as result of the comprehensive assessment of European banks in 2014. We examine the sectoral composition of the credit portfolio and study exposure volumes, RWAs, and RWA densities of different sub-portfolios (corporates, retail, etc.). We find that the IRB (Internal Ratings Based) approach to calculate RWAs is extensively used in exposures to the private sector and that this usage is more intense coinciding with situations in which there is a greater reduction in RWA density with respect to the SA (Standardized Approach), alternative method to calculate RWAs. There is also significant variation across countries in terms of IRB use and savings in terms of RWA density, and therefore in capital requirements.