Risk-weighted assets (RWAs)
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
5,000 trades: Basel III's magic number squeezes swaps books
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Secretive start-ups eye uncleared OTC risk reduction
Dividing the over-the-counter market into cleared and uncleared products creates extra risk and inefficiency, critics claim – it also creates an opportunity for services that can repair the damage. Start-ups and established firms alike are now jockeying…
Optimising the capital ratio under Basel III
Sponsored statement: Moody's Analytics
Risk interdealer rankings 2013: Dealers
Shakes, rattles and rolls
Regulators should keep internal models
The Basel Committee on Banking Supervision is looking closely at the use of supervisor-approved internal models by banks, but the alternatives, such as a leverage ratio, are not a realistic option, argues Uwe Gaumert
Basel Committee may look to floors and fixed parameters
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Bank capital models need more consistency: OCC's Pasch
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Another RWA, another dollar: Capital pressures prompt questions over pay
Basel III is forcing banks around the world to reduce their risk-weighted asset numbers. Some have set up specific teams to do so, but how will these traders fit into a remuneration system that focuses on revenue generation? By Michael Watt
Risk.net poll: Simpler Basel framework is needed
A majority of Risk.net readers think regulators should reduce complexity in the Basel framework, after a recent report shows wide variations in RWAs
UBS gears up for slow getaway
A slow getaway
No exit: The problems facing UBS in its fixed income retreat
The stress of unwinding
Bank analysts spooked by huge gulfs in Basel RWA review
Some banks calculating measures that are 3% of the median in Basel Committee study, while others are more than 2,500%
Q&A: Solving the RWA conundrum
How to define RWAs has prompted debate across the global industry but Standard Chartered head of portfolio risk, Paul Harrald, says he has a solution
Basel RWA review said to show banks 'many multiples' apart
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
Revealing the secrets behind RWA vanishing tricks
A weighty issue
Banks fear outcome as Basel Committee wraps up RWA review
Mending the RWA machine
Risk awards 2013: The winners
Keeping up
Review of 2012: Basel III starts to bite
Basel III starts to bite
Risk USA: Regulators called on to restrict loan modelling choices
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
Risk-based approach "remains the foundation" of bank capital, says Basel Committee's Byres
Risk-based capital creates right incentives for banks, according to head of Basel Committee secretariat - but critics claim supervisors are making models less risk-sensitive