Revisiting Risk-Weighted Assets
By S. Avramova, Vanessa Le Leslé. Social Science Research Network, 2012
120 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/8ff90b2e4383395236a4063be89aed29fd230a83
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Citations in the corpus
- Bank Capital, Liquid Reserves, and Insolvency Risk (2017, unknown): “Another important aspect of regulation that has been widely discussed in the financial press relates to its effects industry in North America; see e.g. Le Leslé and Avramova (2012)), our leverage ratio constraint of 6% is equivalent to a risk-weighted capital ratio of 6%/0.57=10.52%.”
- The effect of capital ratios on the risk, efficiency and profitability of banks: Evidence from OECD countries (2017, unknown): “…interacting capital ratios (Tier 1 to risk-weighted assets from the Basel capital ratios group and common equity to total assets from the traditional capital ratios group, in addition to components 1 and 4 from the PCA) with dummies for all 39 countries of our sample (Le Leslé and Avramova, 2012).”
- The dog and the frisbee (2012, background): “For example, serious concerns have been expressed about the opacity of the Basel risk weights and their consistency across firms (Haldane 2011, Le Leslé and Avramova 2012).”