What is best BT resource to brush up on RWA?

[Sixcarbs]

I think it falls under the Study Guide titled under Operational Risk in Part 2:

Capital Planning at Large Bank Holding Companies

Is it covered in any other section?

Thank you,

Sixcarbs

 

[David Harper CFA FRM]

Hi @Sixcarbs sorry for the delay responding; I didn't mean to take you for granted I count the following three as resourceful with respect to risk-weighted assets (RWA) in Part 2; i.e., ORR-14, ORR-19 and ORR-20:

[ORR–14] Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,” Board of Governors of the Federal Reserve System, August 2013.

• Describe the Federal Reserve’s Capital Plan Rule and explain the seven principles of an effective capital adequacy process for bank holding companies (BHCs) subject to the Capital Plan Rule.
• Describe practices that can result in a strong and effective capital adequacy process for a BHC in the following areas: Risk identification; Internal controls, including model review and validation; Corporate governance; Capital policy, including setting of goals and targets and contingency planning; Stress testing and stress scenario design; Estimating losses, revenues and expenses, including quantitative and qualitative methodologies; Assessing the impact of capital adequacy, including risk-weighted asset (RWA) and balance sheet projections

[ORR-19] Mark Carey, “Capital Regulation Before the Global Financial Crisis,” GARP Risk Institute, April 2019.

• Explain the motivations for introducing the Basel regulations, including key risk exposures addressed and explain the reasons for revisions to Basel regulations over time.
• Explain the calculation of risk-weighted assets and the capital requirement per the original Basel I guidelines.
• Describe measures introduced in the 1995 and 1996 amendments, including guidelines for netting of credit exposures and methods to calculate market risk capital for assets in the trading book.
• Describe changes to the Basel regulations made as part of Basel II, including the three pillars.
• Compare the standardized IRB approach, the Foundation Internal Ratings-Based (IRB) approach and the advanced IRB approach for the calculation of credit risk capital under Basel II
• Compare the basic indicator approach, the standardized approach and the Advanced Measurement Approach for the calculation of operational risk capital under Basel II.
• Summarize elements of the Solvency II capital framework for insurance companies.

[ORR-20] Mark Carey, “Solvency, Liquidity and Other Regulation After the Global Financial Crisis,” GARP Risk Institute, April 2019.

• RWA not explicit in LOs, but implicit conceptually

 

[Sixcarbs]

Thanks @David Harper CFA FRM, just what I needed!
(For what I don't know yet, but maybe something good.)