{"id":"https://openalex.org/W4417040932","doi":"https://doi.org/10.53479/41872","title":"Determinants of internal ratings-based credit risk-weighted assets in Europe: 2015-23","display_name":"Determinants of internal ratings-based credit risk-weighted assets in Europe: 2015-23","publication_year":2025,"publication_date":"2025-12-04","ids":{"openalex":"https://openalex.org/W4417040932","doi":"https://doi.org/10.53479/41872"},"language":"es","primary_location":{"id":"doi:10.53479/41872","doi":"https://doi.org/10.53479/41872","is_oa":true,"landing_page_url":"https://doi.org/10.53479/41872","pdf_url":"https://repositorio.bde.es/bitstream/123456789/41872/1/5_REF49_Determinants.pdf","source":{"id":"https://openalex.org/S4387289810","display_name":"Revista de Estabilidad Financiera","issn_l":"1579-2498","issn":["1579-2498","1579-3621"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Revista de Estabilidad Financiera","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://repositorio.bde.es/bitstream/123456789/41872/1/5_REF49_Determinants.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5120639133","display_name":"Juan Carlos Garc\u00eda-C\u00e9spedes","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Juan Carlos Garc\u00eda-C\u00e9spedes","raw_affiliation_strings":["KPMG"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"KPMG","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5040898063","display_name":"Rub\u00e9n Garc\u00eda-C\u00e9spedes","orcid":"https://orcid.org/0000-0002-0288-2807","observed_orcids":["https://orcid.org/0000-0002-0288-2807"]},"institutions":[{"id":"https://openalex.org/I133498377","display_name":"Banco Bilbao Vizcaya Argentaria (Spain)","ror":"https://ror.org/0537dnd74","country_code":"ES","type":"company","lineage":["https://openalex.org/I133498377"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Rub\u00e9n Garc\u00eda-C\u00e9spedes","raw_affiliation_strings":["BBVA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"BBVA","institution_ids":["https://openalex.org/I133498377"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.6163,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.6340542,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":93},"biblio":{"volume":null,"issue":"N\u00famero 49 (oto\u00f1o 2025)","first_page":"86","last_page":"107"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.7211999893188477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.7211999893188477,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.2712000012397766,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T14183","display_name":"Banking Sector Performance and Management","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/internal-ratings-based-approach","display_name":"internal ratings-based approach","score":0.9700000286102295},{"id":"https://openalex.org/keywords/risk-weighted-assets","display_name":"risk-weighted assets","score":0.9800000190734863},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.7369999885559082},{"id":"https://openalex.org/keywords/non-performing-loans","display_name":"non-performing loans","score":0.7820000052452087},{"id":"https://openalex.org/keywords/loan-provisions","display_name":"loan provisions","score":0.7850000262260437},{"id":"https://openalex.org/keywords/probability-of-default","display_name":"probability of default","score":0.9980000257492065},{"id":"https://openalex.org/keywords/loss-given-default","display_name":"loss given default","score":1.0},{"id":"https://openalex.org/keywords/retail-lending","display_name":"retail lending","score":0.5690000057220459},{"id":"https://openalex.org/keywords/european-banks","display_name":"European banks","score":0.6200000047683716}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6258000135421753},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.6100000143051147},{"id":"https://openalex.org/C2779806880","wikidata":"https://www.wikidata.org/wiki/Q778470","display_name":"Probability of default","level":3,"score":0.46709999442100525},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.44909998774528503},{"id":"https://openalex.org/C68842666","wikidata":"https://www.wikidata.org/wiki/Q1070699","display_name":"Credit history","level":2,"score":0.43529999256134033},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.3903999924659729},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.3643999993801117},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3433000147342682},{"id":"https://openalex.org/C2993078247","wikidata":"https://www.wikidata.org/wiki/Q182076","display_name":"Bank credit","level":2,"score":0.3433000147342682},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3296999931335449},{"id":"https://openalex.org/C205208723","wikidata":"https://www.wikidata.org/wiki/Q372765","display_name":"Credit rating","level":2,"score":0.29809999465942383},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.296099990606308},{"id":"https://openalex.org/C2780759654","wikidata":"https://www.wikidata.org/wiki/Q809934","display_name":"Basel II","level":4,"score":0.2782999873161316},{"id":"https://openalex.org/C2986226071","wikidata":"https://www.wikidata.org/wiki/Q22687","display_name":"Banking industry","level":2,"score":0.2766000032424927},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.26409998536109924},{"id":"https://openalex.org/C185669311","wikidata":"https://www.wikidata.org/wiki/Q1163221","display_name":"Return on assets","level":3,"score":0.2615000009536743},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.25850000977516174},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.2565000057220459},{"id":"https://openalex.org/C2775997200","wikidata":"https://www.wikidata.org/wiki/Q632029","display_name":"Country risk","level":2,"score":0.2540000081062317},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.25369998812675476},{"id":"https://openalex.org/C133930124","wikidata":"https://www.wikidata.org/wiki/Q1460730","display_name":"Loss given default","level":4,"score":0.2535000145435333}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.53479/41872","doi":"https://doi.org/10.53479/41872","is_oa":true,"landing_page_url":"https://doi.org/10.53479/41872","pdf_url":"https://repositorio.bde.es/bitstream/123456789/41872/1/5_REF49_Determinants.pdf","source":{"id":"https://openalex.org/S4387289810","display_name":"Revista de Estabilidad Financiera","issn_l":"1579-2498","issn":["1579-2498","1579-3621"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Revista de Estabilidad Financiera","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.53479/41872","doi":"https://doi.org/10.53479/41872","is_oa":true,"landing_page_url":"https://doi.org/10.53479/41872","pdf_url":"https://repositorio.bde.es/bitstream/123456789/41872/1/5_REF49_Determinants.pdf","source":{"id":"https://openalex.org/S4387289810","display_name":"Revista de Estabilidad Financiera","issn_l":"1579-2498","issn":["1579-2498","1579-3621"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Revista de Estabilidad Financiera","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320315062","display_name":"Ministerio de Ciencia, Innovaci\u00f3n y Universidades","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4417040932.pdf","grobid_xml":"https://content.openalex.org/works/W4417040932.grobid-xml"},"referenced_works_count":2,"referenced_works":["https://openalex.org/W2624954318","https://openalex.org/W6964772374"],"related_works":["https://openalex.org/W2291284899","https://openalex.org/W7111966279","https://openalex.org/W4226157170","https://openalex.org/W7172023724","https://openalex.org/W1838128284","https://openalex.org/W3124041576","https://openalex.org/W79769379","https://openalex.org/W7027963515","https://openalex.org/W90404341","https://openalex.org/W2610537854"],"abstract_inverted_index":{"Risk-weighted":[0],"assets":[1],"(RWAs)":[2],"and":[3,15,39,65,82,84],"RWA":[4],"density":[5],"(RWD)":[6],"are":[7,76],"key":[8],"metrics":[9],"for":[10,16,79],"assessing":[11],"banks\u2019":[12],"credit":[13,52],"risk":[14,53],"enabling":[17],"cross-bank":[18],"comparisons":[19],"under":[20],"the":[21,29,57],"internal":[22],"ratings-based":[23],"(IRB)":[24],"approach.":[25],"Using":[26],"data":[27],"from":[28,95],"European":[30],"Banking":[31],"Authority,":[32],"we":[33],"analyse":[34],"IRB-RWD":[35,50],"levels":[36],"across":[37],"banks":[38],"countries,":[40],"as":[41,43,56],"well":[42],"their":[44],"evolution":[45],"over":[46],"time.":[47],"We":[48],"relate":[49],"to":[51],"indicators":[54],"such":[55],"non-performing":[58],"loans":[59],"ratio,":[60],"provisions,":[61],"probability":[62],"of":[63],"default":[64],"loss":[66],"given":[67],"default.":[68],"Our":[69],"findings":[70],"show":[71],"that":[72,85],"country-specific":[73],"dummy":[74],"variables":[75],"not":[77],"significant":[78],"most":[80],"portfolios":[81,93],"countries":[83],"systematic":[86],"differences":[87],"in":[88],"domestic":[89],"exposures":[90],"suggest":[91],"retail":[92],"benefit":[94],"favourable":[96],"treatment.":[97]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2025-12-05T00:00:00"}
