The variability of RWA density is a crucial element of ca pitai adequacy requirement measuring. Despite ali initiatives taken by banking regulators and supervisors, a number of questions are stili open. Against this background, the Author highlights the importance of contain the determinants of this variability with a criticai approach of literature review and regulation, providing a different perspective on some of those questions and set the conditions for shifting the attention from simple comparison across banks to an economic interpretation of their risk measures. The results point that regulation-specific factors which could mitigate RWA variability. The introduction of the Basel IV reforms, and in particular the output floor measure, reduces RWA variability, with greater reductions in variability observed for higher calibrations of the floor.
The variability in RWA density. New perspectives on the approach to risk measuring
ELENA BRUNO
2023-01-01
Abstract
The variability of RWA density is a crucial element of ca pitai adequacy requirement measuring. Despite ali initiatives taken by banking regulators and supervisors, a number of questions are stili open. Against this background, the Author highlights the importance of contain the determinants of this variability with a criticai approach of literature review and regulation, providing a different perspective on some of those questions and set the conditions for shifting the attention from simple comparison across banks to an economic interpretation of their risk measures. The results point that regulation-specific factors which could mitigate RWA variability. The introduction of the Basel IV reforms, and in particular the output floor measure, reduces RWA variability, with greater reductions in variability observed for higher calibrations of the floor.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
