Concerns about excessive variability in bank risk weights have prompted their review byregulators. This paper provides prima facie evidence on the extent of risk weightheterogeneity across broad asset classes and by country of counterparty for major banks inthe European Union using internal...

Concerns about excessive variability in bank risk weights have prompted their review by regulators. This paper provides prima facie evidence on the extent of risk weight heterogeneity across broad asset classes and by country of counterparty for major banks in the European Union using internal...

We extend the literature on the sovereign-bank nexus by examining the composition effects of sovereign portfolios on banks´ risk profile, unlike previous studies which generally analyzed the determinants of banks’ sovereign portfolios or the size effects of these portfolios. We also differ...