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
Asia Risk: The Basel Committee is currently reviewing its approach to risk-weighted assets (RWAs) – is the present approach conceptually valid?
Paul Harrald *: Conceptually valid, yes, but in practice there are plainly difficulties. Currently we have the situation where two separate banks could assign very different RWAs to the same portfolio even with identical risk management practices. There has been the insinuation that this is evidence of “gaming”, but it need not be. For example, there has
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Basel Committee
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Basel Committee drops fixed correlations in new trading book proposals
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
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
Implementation of Basel III capital ratios on Korean banks to drive subordinate debt issuance
Basel III capital requirements in Korea expected to dampen down M&A and ramp up issuance of subordinated debt
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
No CVA exemptions in US Basel III rules
Europe isolated as US regulators opt for broad counterparty risk charge
Dealers plan standard margin model for WGMR regime
Fight over margin requirements for uncleared trades is not over, banks vow, but Isda will develop a standard model for use under the rules
