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Determinants of internal ratings-based credit risk-weighted assets in Europe: 2015-2023

Author

Listed:
  • Juan Carlos García-Céspedes
  • Rubén García-Céspedes

Abstract

Los activos ponderados por riesgo (APR) y la densidad de APR (DPR) son métricas clave para evaluar el riesgo crediticio de los bancos y que permiten comparar bancos usando el método basado en calificaciones internas (IRB, por sus siglas en inglés). Con datos de la Autoridad Bancaria Europea, analizamos los niveles de IRB-DPR de distintos bancos y países, así como su evolución a lo largo del tiempo. Además, relacionamos el IRB-DPR con otros indicadores de riesgo crediticio, como la ratio de préstamos morosos, las provisiones, la probabilidad de impago y la pérdida en caso de impago. Los resultados muestran que las variables dummy específicas por país no son significativas para la mayoría de las carteras y países, y que las diferencias sistemáticas en las exposiciones nacionales sugieren que las carteras minoristas se benefician de un tratamiento más favorable.

Suggested Citation

  • Juan Carlos García-Céspedes & Rubén García-Céspedes, 2025. "Determinants of internal ratings-based credit risk-weighted assets in Europe: 2015-2023," Revista de Estabilidad Financiera, Banco de España, issue Otoño.
    • Handle: RePEc:bde:revist:y:2025:i:11:n:5
    Note: 49
    as

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    File URL: https://www.bde.es/f/webbe/GAP/Secciones/Publicaciones/InformesBoletinesRevistas/RevistaEstabilidadFinanciera/25/5_REF49_Determinants.pdf
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