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Basel Committee Publishes Report on the Regulatory Consistency of Risk-Weighted Assets for Market Risk

Today, the Basel Committee published a report on the regulatory consistency of risk-weighted assets (RWAs) for market risk.  This analysis of market risk RWAs is part of the Basel Committee’s wider Regulatory Consistency Assessment Programme (RCAP).  A similar analysis is currently under way for credit risk RWAs.

The market risk RWAs report brings together two pieces of analysis: (1) an examination of publicly available data for a selection of large banks and (2) the results of a hypothetical test portfolio exercise, in which 15 internationally active banks participated.  …  Read More

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