At UBS, market risk charge falls following model updates

Model updates allowed UBS to whittle down its market risk-weighted assets (RWAs) by $1.7 billion in the third quarter, a 16% drop on Q2.

The Swiss lender disclosed market RWAs of $9.2 billion as of end-September, down from $10.9 billion the previous quarter and $11.7 billion a year ago. This translates to a market risk capital requirement of $737 million, the bank’s lowest since Q1 2017.


A tune-up of the value-at-risk parameters of its market risk model reduced RWAs by a net $1 billion

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