Analysis and synthesis (Analyses et synthèses) no. 42: How may risk weights differ across banks? Evidence from the corporate portfolios of French banks

This article analyses the dispersion of risk weights for large corporate portfolios and identifies the sources of dispersion among banks in terms of the Basel risk parameters. The analysis focuses on loans granted by 5 large French banking groups to large corporates operating in France and rated by several banks under the Advanced Internal Rating Based approach (the so-called AIRB approach).

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Analysis and synthesis (Analyses et synthèses) no. 42: How may risk weights differ across banks? Evidence from the corporate portfolios of French banks
  • Published on 03/20/2015
  • FR
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Updated on: 03/19/2019 15:48