EBA Report on the 2021 Credit Risk Benchmarking Exercise.pdf
Report on the 2021 Credit Risk Benchmarking Exercise
Report on the 2021 Credit Risk Benchmarking Exercise
Annex - chart pack to EBA Report on the 2021 Credit Risk Benchmarking Exercise
Report on the 2021 Market Risk Benchmarking Exercise
The European Banking Authority (EBA) published today its Reports on the annual market and credit risk benchmarking exercises. These exercises aim at monitoring the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. Regarding market risk, for the majority of participating banks, the results confirm low dispersion in the initial market valuation (IMVs) and increased dispersion in the VaR submissions. For credit risk, the variability of RWA remained rather stable, despite the pandemic and banks’ efforts to re-develop or re-calibrate their models to comply with the policies set out in the EBA internal rating-based (IRB) roadmap. A particular focus has been put on analysing the impact of the pandemic and the compensating public measures on the IRB models.