Bank analysts spooked by huge gulfs in Basel RWA review
Some banks calculating measures that are 3% of the median in Basel Committee study, while others are more than 2,500%
A Basel Committee on Banking Supervision review has found huge variation in risk-weighted assets (RWAs) calculated by 15 participating banks for trading book exposures – triggering calls for the system to be fixed and warnings from bank analysts that valuations may be affected.
The review, under way for much of last year, required banks to calculate a series of measures that feed into risk-weighted asset (RWA) calculations – such as value-at-risk – for 24 asset class-specific test portfolios
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