Credit Risk Measurement and Models: Risk-Weighted Assets (RWAs)
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Credit Risk Measurement and Models: Risk-Weighted Assets (RWAs)

Intuition Publishing
Updated Sep 25, 2020

Risk-weighted asset (RWA) calculations enable banks to achieve finer differentiation of the credit risk for various exposures. We begin by looking at the various approaches banks use to calculate RWAs for credit risk - the Standardized Approach (SA) and the Internal Ratings-Based (IRB) Approach - before describing some of the issues surrounding RWA calculations.

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