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mixmasterdeik
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Joined: December 17th, 2009, 7:26 pm

Good reference for RWA, SLA and capital charges

January 19th, 2015, 5:55 pm

Hi, does anyone know a good reference for studying RWA, SLA and capital charges for computing break even PV capital wise for a bank?Thks
 
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mixmasterdeik
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Joined: December 17th, 2009, 7:26 pm

Good reference for RWA, SLA and capital charges

January 19th, 2015, 5:57 pm

Sorry I meant SLR instead of SLA
 
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mixmasterdeik
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Good reference for RWA, SLA and capital charges

January 19th, 2015, 5:57 pm

 
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ishakh
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Good reference for RWA, SLA and capital charges

February 18th, 2015, 8:00 pm

These things are not written up any where... nor are quants interested in this I presume :-)
 
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mixmasterdeik
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Good reference for RWA, SLA and capital charges

May 20th, 2015, 6:46 pm

I think you are wrong, quants are interested in helping trading desk to show a price to a client, but the new trade that enters the portfolio will affect his capital charges and the ROE for the desk which the trader (and his boss) are looking at. So the only way you know a trade is good for the bank currently is to verify if it's price adjusted by capital charges still makes sense.This is where SLR, RWA and other measures enter the gameCheers
 
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pimpel
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Good reference for RWA, SLA and capital charges

May 21st, 2015, 7:45 am

I would start with Green, Andrew David and Kenyon, Chris and Dennis, Chris R, KVA: Capital Valuation Adjustment (October 23, 2014). Risk, December 2014. Available at SSRN: http://ssrn.com/abstract=2400324 or http://dx.doi.org/10.2139/ssrn.2400324 and other works by those authors.