Risk-weighted assets (RWAs)
While standardised rules are being revised, banks say they can't make a call on floors
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Regulators argue a backstop is needed to avoid too-low modelled numbers
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Risk-weighted assets (RWAs) articles
Tougher leverage ratio in US prompts early review
Ultra-high-net-worth investors ready to sink $300 million into market-making revolution
Capital benefits also remain intact for modelling banks, says Fed official
With around $1 billion deployed in capital relief trades and the same amount in direct lending, Chenavari has found a sweet spot for investors - but a danger area for regulators
Regulators have increasingly been pushing for less reliance on bank internal models, but Osfi’s deputy superintendent of the regulation sector, Mark Zelmer, thinks internal models have a place
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
The use of internal bank models for meeting capital requirements has been approved for some time. Regulators thus face issues of model approval, necessitating some public domain analysis of model performance....
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Othe...
Dividing the over-the-counter market into cleared and uncleared products creates extra risk and inefficiency, critics claim – it also creates an opportunity for services that can repair the damage...
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Basel III is forcing banks around the world to reduce their risk-weighted asset numbers. Some have set up specific teams to do so, but how will these traders fit into a remuneration system that focu...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.