EBA publishes annual assessment of banks’ internal approaches for the calculation of capital requirements
10 March 2023
- 10 March 2023
The European Banking Authority (EBA) published today its Reports on the annual market and credit risk benchmarking exercises conducted in 2022. - 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.
- For credit risk, the variability of RWAs remained rather stable, despite the pandemic and the different banks’ pace in complying 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.