IMF Working Papers

Revisiting Risk-Weighted Assets

Author/Editor:

Sofiya Avramova ; Vanessa Le Leslé

Publication Date:

March 1, 2012

Electronic Access:

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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.

Series:

Working Paper No. 12/90

Subject:

Asia and Pacific Bank regulations Bank supervision Banking sector Banks Capital Credit risk Cross country analysis Europe North America Risk management