The European Banking Authority (EBA) has published two reports on the consistency of risk weighted assets (RWAs) across large EU institutions for large corporate, sovereign and institutions’ internal ratings based (IRB) portfolios (collectively referred to as “low default portfolios” – LDP), as well as for the calculation of counterparty credit risk exposures under the Internal Model Method and the credit value adjustments (CVA) according to the advanced approach. The findings in the report will inform the EBA’s work on internal models. A deeper understanding of what drives differences in RWAs will allow the EBA to explore a number of options to address specific concerns, as put forward in the EBA report on CVA as well as in the discussion paper on the future of the IRB approach published by the EBA in February and March 2015 respectively.
View EBA publishes RWA assessment as the next step in improving consistency of internal model outcomes, 22 July 2015