Risk-weighted assets (RWAs)
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
Wells Fargo bucks peers with rise in CCP default fund contributions
Heavier clearing drives bank’s balance to new high in Q3
New EBA taxonomy could help integrate emerging op risks
Extra loss flags will allow banks to track transversal risks like geopolitics and AI, say experts
China, US banks show highest global RWA density
American Express leads with risk density over 70%, ahead of Capital One and Truist
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)
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
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