Capital Buffers and Risk-weighted Assets Under Basel III - METAC
Capital Buffers and Risk-weighted Assets Under Basel III - METAC
Capital Buffers and Risk-weighted Assets Under Basel III - METAC
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RWA: MARKET RISKS• Internal model approachesInternalmodelMarketriskfactorsSpecific risk ifmodelapproved (if notseest<strong>and</strong>ardisedapproach)VaRStressedVaRUnsecuritizedcreditexposuresSecuritizedexposuresVaRspecificriskStressedVaRIncrementalrisk chargeCredit riskapproach forsecuritizationCorrelationtradingVaRspecificriskStressedVaRComprehensiverisk capitalchargeSource: Author’s own27