At US G-Sibs, modelled RWAs outpaced standardised in 2020

Top US banks’ risk-weighted assets (RWAs) calculated using in-house models increased at roughly twice the rate as under the regulator-set method in 2020.

In aggregate, the eight US global systemically important banks (G-Sibs) disclosed RWAs generated under the advanced approaches (AA) of $6.59 trillion as of end-2020, up 3% on the year prior. The AA allows firms to use their own internal models to calculate credit, market and operational risk requirements.

In contrast, RWAs calculated using

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