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