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European Union authorities will take action to address shortcomings with the market risk models of 14 lenders following the results of the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog.
Penalties will range from supervisory reviews of value-at-risk and incremental risk charge models to capital add-ons.
Four banks were deemed ‘high priority’ for intervention based on, among other reasons, their outlier status following the benchmarking analysis, history of
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Risk.net Print this page
Barclays had the largest amount of market risk-weighted assets of the banks featured in the European Banking Authority’s latest transparency exercise.
The UK lender had €39.1 billion ($47.8 billion) of this kind of RWAs, used to set capital requirements for trading risks, as of end-June 2020, equal to 11% of its total RWAs. HSBC had the second-most market RWAs, with €31.4 billion, making up 4% of its total, followed by BNP Paribas, with €30.3 billion.
The combined market RWAs of the 135 named
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