Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
The proportion of market risk-weighted assets (RWAs) calculated by their own models is shrinking for large UK banks, Risk Quantum analysis shows.
The percentage of market RWAs generated using the internal models approach (IMA), accounted for 70% of the total in the second quarter of the year, down from 74% at the end of 2016. In contrast, the share of market RWAs generated by the regulators’
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