Total risk-weighted assets across UK banks fell a net £35 billion ($44 billion) in the third quarter, with those related to market risk dropping the most in percentage terms.
Market RWAs plunged 5%, to £372 billion over the three months to end-September.
Credit and counterparty RWAs fell 1% to £2.1 trillion. Credit valuation adjustment (CVA) RWAs were also down quarter-on-quarter, by 2% to £96 billion. Year-on-year, CVA RWAs have fallen 23%, or £28 billion.
In contrast, operational RWAs grew
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Quant Finance Master’s Guide 2019
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?