Model refinements slim UBS market risk RWAs

Model updates and lower regulatory add-ons helped UBS cut market risk-weighted assets by 16% in the second quarter, to their lowest level since Q1 2017. 

The bank’s market RWAs fell to $10.9 billion at end-June, from $13 billion the quarter prior. Updates to the firm’s risks-not-in-VAR framework led to lower regulatory add-ons, which in turn shed $1.5 billion from the total. Model updates garnered an RWA saving of $200 million. 

The Swiss bank said the drop in market RWAs also reflected

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: