Driving Return on Risk-Weighted Assets Improvement via Audit, Analytics, and Advanced Modeling in Bank Portfolio Management
DOI:
https://doi.org/10.15662/IJARCST.2025.0803009Keywords:
Financial Stability Board, Basel Committee on Banking Supervision, Global Portfolio Management, Collateralized Loan Obligations, Credit Default Swaps, Return on Risk-Weighted AssetsAbstract
The Bank is among the largest and systemically most essential banking groups in the world, with approximately $3.1 trillion in total assets, and is among only a few top-3 Global Systemically Important Banks (GSIBs) identified within the Financial Stability Board (FSB) and Basel Committee on Banking Supervision (BCBS) categories. Being classified as a G-SIB has resulted in rigorous Basel III rules governing capital surcharges and supervisory reviews. The Global Portfolio Management (GPM) franchise is an important contributor to the management of credit risk exposures, including but not limited to, Collateralized Loan Obligations (CLOs) and Credit Default Swaps (CDS). One key area we focus on optimizing is Return on Risk-Weighted Assets (RoRWA), which we have revitalized as a profit-to-asset risk indicator to enable capital allocation and operational effectiveness. The firm is investing in the optimization of risk analysis, deployment of better real-time monitoring of new and emerging risks, and improvement of our stress testing models, all in advance of financial strength, meaningfully growth, and to support the Bank's facilitating role in economic globalism.
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