Risk-weighted assets (RWAs)
Derivatives house of the year: Citi
Risk Awards 2026: Rev up, RWAs down, as US bank gets back on track (with added XiNG and XiP)
Lower SCBs bring Citi, JPM close to Collins floor
Uncertainty lingers amid Fed proposal on SCB averaging and push to scrap the floor
A primer on generalized weighted risk functionals
The authors put forward a class of generalized weighted risk functionals that incorporates the possibility of arbitrary aggregations, introducing the notion of an aggregation function in the context of the aforementioned weighted risk functionals.
Basel III reforms expected to lift large bank capital requirements by 2.1%
Latest BCBS analysis highlights increased capital needs from the output floor
First Citizens records steepest climb in HFI loan risk-weights
Regional lender led US banks in HFI risk-weight growth in Q2 as scrutiny of loan books deepens
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
Morgan Stanley SCB cut unlocks $4.2bn after rare Fed appeal win
Bank’s buffer falls 170bp, widening average cut across US banks subject to the regime to 66bp
EU securitisation rethink to boost mortgage-bearing SRTs?
Insurer participation and a lower risk weight could help make capital savings attractive to banks
Trade tensions lift China G-Sibs’ CVA charges 10% in Q2
Top Chinese banks’ RWAs rebound for first time since Basel III overhaul
US Basel III endgame: a credit risk calibration conundrum
If regulators want to finalise the rules, they should strip out gold plate and cancel a haircut
Market RWAs climb at top Chinese banks as risk sensitivities spike
China Construction Bank records biggest rise on record in Q2
Lightening the RWA load in securitisations
Credit Agricole quants propose new method for achieving capital neutrality
BNPP, Deutsche among EU banks hit by VAR breaches in April
Sharpest rise in backtesting exceptions since 2022 Ukraine war shock largely linked to tariff chaos
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
How some banks aced the EBA stress test
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
CVA risk hits record highs at DBS and UOB
Singaporean banks post biggest RWA increases since 2022
Fed’s new leverage ratio: the horse that never left the gate
Most of the biggest dealers aren’t leverage constrained now, and experts are sceptical that banks will use the extra capacity for Treasuries
Full output floor would cut average CET1 ratio by 70bp
Phased-in Basel III rules would add over €500bn to RWAs at 64 European banks in downturn