IMF Working Papers

Revisiting Risk-Weighted Assets

By Sofiya Avramova, Vanessa Le Lesle

March 1, 2012

Download PDF

Preview Citation

Format: Chicago

Sofiya Avramova, and Vanessa Le Lesle. Revisiting Risk-Weighted Assets, (USA: International Monetary Fund, 2012) accessed December 22, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

Subject: Banking, Basel II, Basel III, Capital adequacy requirements, Covered bonds, Financial institutions, Financial regulation and supervision, Market risk

Keywords: Asia and Pacific, Asia Pacific bank, Banks, Basel I, Basel II, Basel III, Capital, Capital adequacy requirements, Covered bonds, Credit risk, Europe, Global, II, III, IRB bank, Market risk, North America, Pillar III report, Pollar III report, Regulation, Risk appetite, Risk modeling choice, Risk-weighted Assets, RWA methodology, Unsecured debt, WP

Publication Details

  • Pages:

    48

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2012/090

  • Stock No:

    WPIEA2012090

  • ISBN:

    9781475502657

  • ISSN:

    1018-5941

You May Also Be Interested In...

Ukraine: Sixth Review Under the Extended Arrangement Under the Extended Fund Facility, Requests for Modification of a Performance Criterion, and Financing Assurances Review-Press Release; Staff Report; and Statement by the Executive Director for Ukraine

December 20, 2024

Islamic Republic of Mauritania: Selected Issues

December 20, 2024

Ecuador: Selected Issues

December 19, 2024

Ecuador: 2024 Article IV Consultation and First Review Under the Extended Arrangement Under the Extended Fund Facility and Financing Assurances Review-Press Release; Staff Report; and Statement by the Executive Director for Ecuador

December 19, 2024