Year: 2025
Type: article
Abstract: Risk-weighted assets (RWAs) and RWA density (RWD) are key metrics for assessing banks’ credit risk and for enabling cross-bank comparisons under the internal ratings-based (IRB) approach. Using data from the European Banking Authority, we analyse IRB-RWD levels across banks and countries, as well as their evolution over time. We relate IRB-RWD to credit risk indicators such as the non-performing loans ratio, provisions, probability of default and loss given default. Our findings show that country-specific dummy variables are not significant for most portfolios and countries and that systematic differences in domestic exposures suggest retail portfolios benefit from favourable treatment.
DOI: 10.53479/41872
Institution: Banco Bilbao Vizcaya Argentaria (Spain)
Language: Spanish
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4417040932