Credit risk-weighted assets (RWAs) increased 12% at Credit Suisse and UBS in the year to end-September, with the former adding Sfr14 billion ($14 billion) and the latter Sfr12 billion.
RWAs calculated using internal ratings-based (IRB) approaches, which rely on the banks’ own models, leapt Sfr21 billion in the period in aggregate, while those using the regulator-set standardised approach grew a more modest Sfr4 billion.
The drivers of credit risk within the banks’ IRB portfolios differed.
- Bank risk manager of the year: UBS
- Asia moves: BlackRock picks new Asia head, Credit Suisse boosts regional solutions, and more
- We need a different approach to supervisory stress-testing
- People moves: Asia hires at Credit Suisse, new UBS data role, NatWest takes UBS's Duclos, and more
- Risk solutions house of the year: HSBC