Comment se calcule le RWA ?
La formule réglementaire\n\n Le RWA = 12.5*EAD*(LGD * N( (1 - R)^-0.5 * G (PD) + (R / (1 - R))^0.5 * G (0.999)) - PD * LGD) * (1 - 1.5 x b(PD))^ (-1) × (1 + (M - 2.5) * b (PD))
Pourquoi calculer le RWA ?
Les RWA constituent une estimation du risque déterminant le niveau minimum de fonds propres réglementaires qu'une banque doit conserver pour faire face à des pertes imprévues. Un calcul prudent et crຝible des RWA fait partie intégrante du dispositif de fonds propres fondé sur les risques.
[PDF] Finalisation de Bâle III - En bref
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[PDF] Bâle 1 2 3 de quoi s'agit-il ? - ACPR
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[PDF] "Total Assets" versus "Risk Weighted Assets" - European Parliament
"Total Assets" versus "Risk Weighted Assets" - European Parliament www europarl europa eu/RegData/etudes/IDAN/2016/574415/IPOL_IDA(2016)574415_EN pdf 13 juil 2016 But the recent past has shown that the measures to determine the RWA are far from flawless with risk weights too low for government exposures
[PDF] Towards more consistent albeit diverse risk-weighted assets across
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[PDF] Revisiting Risk-Weighted Assets “Why Do RWAs Differ Across
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Implementation of Risk-Based Capital Adequacy Standards www gao gov/assets/nsiad-91-80 pdf 'Risk weight refers to a percentage figure assigned to an asset category such as loans based on broad categories of credit risk Assets with a high risk
[PDF] Credit Suisse reports net revenues of CHF 38 bn and pre-tax loss of
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[PDF] Bank deleveraging the move from bank to market-based financing
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