| Description |
1 online resource |
| Series |
IMF Working Papers ; v. Working Paper No. 12/90 |
|
IMF Working Papers
|
| Contents |
Cover; Abstract; Contents; I. Introduction; II. Risk-weighted Assets, Capital, and the Regulatory Framework; A. RWAs are an Important Component of Capital Ratios; B. Why Do We Need to Look at RWAs?; Figures; 1. Capital Ratios Under Basel III Use Several Versions of the Basel Regime; III. What Are The Key Concerns About RWAs?; Tables; 1. Overview of Key Concerns Resulting from Current RWAs Calculation Practices; A. Comparing Capital Ratios Globally is Difficult; 2. Comparison of Core Tier 1 over RWAs, Leverage Ratio and Core Tier 1 Equivalent |
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3. Leverage Ratio and RWA Density for a Sample of 14 Global Banks with a 9 Percent Core Tier 1 Ratio (or equivalent)B. RWAs and Total Asset Variations across Regions and ver Time; 4. Ranges of CT1 and of RWA Density by Ratings and Distribution of Ratings for the 14 Banks with a 9 percent Core Tier 1 Ratio; 5. Evolution of RWA over Total Assets (1998-2011) across Regions; IV. Key Drivers of Differences in RWA Calculations; A. Overview of Factors Influencing RWAs; 2. Main Factors of Differences in RWA Densities across Jurisdictions and Banks; B. External Parameters |
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6. Regulatory Frameworks in 25 Systemically Important Jurisdictions7. RWA Density by Regulatory Standards; 8. Acounting Standards in 25 Systemically Important Jurisdictions; C. Bank-related Parameters; 9. Default Rate by Region (1996-2010) and by Rating Agency; 10. RWA Densities for all Banks in our Sample Grouped by Region and by Business Model; 11. Breakdown of RWAs by Credit, Market and Operational Risks; 3. Minimum, Median, and Maximum Risk-weights Attributed to Categories of Credit Risk; 12. Minimum, Maximum, and Average Risk-Weights by Region for Different Categories of Credit Risk |
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13. Basel 2.5 and Basel III Impact on RWAs14. Breakdown of Wholesale Assets; D. Certain RWA Differences May Warrant Particular Attention; 15. Value at Risk for Market Risk under Basel II; Boxes; 1. U.K. Financial Services Authority (FSA) Survey of RWA Practices; 2. Are There Some Anomalies in the Treatment of Covered Bonds?; V. What Can be Done to Restore Confidence in RWA?; A. Objectives of RWA Reforms; B. Policy Options to Reform RWAs Should Rely on a Multipronged Approach; 16 a and b. Reforming RWAs Has to Rely on a Combination of Measures |
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17. Possible Options to Reform the Existing RWA Framework4. Some Policy Options to Revisit the RWA Framework; VI. Conclusion; Appendices; I. Evolution of the Regulatory Capital Framework; II. Methodology and Sample Description; III. Standard and Poor's (S & P) Risk-Adjusted Capital (RAC) Framework; References |
| 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 |
| Notes |
English |
| Form |
Electronic book
|
| Author |
Lesl, Vanessa Le, author
|
| ISBN |
9781475502657 |
|
1475502656 |
|
1475576579 |
|
9781475576573 |
|
1475524099 |
|
9781475524093 |
|
