risk weighted asset
So far I only see the term risk weighted asset that is used in calculating capital required. How about risk on the liability side?
Solutions to Q&A3.6(i)(b) and Q&A3.11(iii) are confusing me, in that the former says contingent liabilities (written) will be converted into on-balance sheet equivalents whereas the latter says the current exposure method ignores the value of contingent liabilities (swap in the exercise) that might be a liability to the bank. So do we set aside capital for risk on the liability side?
Also on Q&A bank Q&A3.6(i)(b) solutions - how do we "load" the capital required for contingent liabilities actually? Just add on to the other RWA?
Last edited by a moderator: Sep 5, 2015