Leverage balance sheet (LBS)
UBS’s risk density set to increase after Credit Suisse takeover
Rescued bank’s RWA-to-exposure ratio rose at faster clip prior to collapse
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment