Does anybody have any idea (ideally with a reference) of the relative size of various regulatory capital requirements for a typical large (sifi) bank?
I.e. market risk vs counterparty default risk vs cva risk vs operational risk etc
Thanks
Here is a short overview to start, with links:Does anybody have any idea (ideally with a reference) of the relative size of various regulatory capital requirements for a typical large (sifi) bank?
I.e. market risk vs counterparty default risk vs cva risk vs operational risk etc
Thanks
Still not exactly what you are looking for, but downloadable data set and scores for the various G-SIBs within subcategories here: (2020):In case anyone else is interested: after a bit of searching, I found that the breakdown I am talking about is available as part of a banks public "pillar 3 disclosure", which breaks down RWA by risk category. Unfortunately so far I haven't been able to find a report (e.g. by some regulator or consultancy) that nicely summarizes this across the industry.
Obviously this will vary by institution, but my guess (hope) is that most large investment banks will look roughly the same.
Why would you expect that the capital charge across the whole spectrum of capital charges , covering all types of risk, under Basel Pillar 2 or even 1 would approximately be the same ? Do you expect these "large" institutions to have about the same risk exposures to different underlying risk factors ? how much variability is included in "roughly?"