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FIS Enterprise Risk Ideas Portal
Categories Portfolio Measures
Created by Jean-Marc Schwob
Created on Nov 12, 2018

RWA Measure

It has often been suggested that ACR should feature a 'RWA' measure. This could be implemented rather simply by taking the existing RCC measure and not applying the ROE and Capital Ratio parameters.

A more comprehensive approach would be to extend our capital calculations from the existing IRB method to also cater for the Standardised approach, which would require a lot more analysis.

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