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Revisiting Risk-Weighted Assets

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  • Sofiya Avramova
  • Vanessa Le Leslé
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    Abstract

    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.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=25807
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/90.

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    Length: 48
    Date of creation: 01 Mar 2012
    Date of revision:
    Handle: RePEc:imf:imfwpa:12/90

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    Related research

    Keywords: Banks; Capital; Bank supervision; Banking sector; Credit risk; Risk management;

    This paper has been announced in the following NEP Reports:

    References

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    1. Ouarda Merrouche & Enrica Detragiache & Asli Demirgüç-Kunt, 2010. "Bank Capital: Lessons from the Financial Crisis," IMF Working Papers 10/286, International Monetary Fund.
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    Cited by:
    1. Horvath, B.L., 2013. "The impact of Taxation on Bank Leverage and Asset Risk," Discussion Paper 2013-076, Tilburg University, Center for Economic Research.
    2. Maria del Pilar Castillo & Giácomo Balbinotto, 2012. "Las FARC y los costos del secuestro," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 14(27), pages 147-164, July-Dece.
    3. Andrew G. Haldane & Vasileios Madouros, 2012. "El perro y el frisbee," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 14(27), pages 13-56, July-Dece.

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