Search Results - subject:"Risk-weighted assets"

Back to the roots of internal credit risk models: Does risk explain why banks' risk-weighted asset levels converge over time?

Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2024

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels....

Persistent link: https://www.econbiz.de/10014470173

Back to the roots of internal credit risk models : does risk explain why banks' risk-weighted asset levels converge over time?

Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2024

Persistent link: https://www.econbiz.de/10014467948

An axiomatic approach to default risk and model uncertainty in rating systems

Nendel, Max; Streicher, Jan Maximilian - 2023

computation of capital requirements through risk-weighted assets (RWAs), as demanded by the Capital Requirement Regulation (CRR … risk-weighted assets. …

Persistent link: https://www.econbiz.de/10015444346

The rollout of internal credit risk models: Implications for the novel partial-use philosophy

Schlam, Carina; Woyand, Corinna - 2023

. Furthermore, we find that the first implementation steps lead to the greatest risk-weighted assets reductions, which indicates …

Persistent link: https://www.econbiz.de/10014000476

An axiomatic approach to default risk and model uncertainty in rating systems

Nendel, Max; Streicher, Jan Maximilian - 2023

computation of capital requirements through risk-weighted assets (RWAs), as demanded by the Capital Requirement Regulation (CRR … risk-weighted assets. …

Persistent link: https://www.econbiz.de/10015433905