European banks face RWA headache

A potential convergence in the way US and European banks calculate their risk-weighted assets could create a $15bn-plus capital hole at Europe's four largest banks

A potential convergence in the way US and European banks calculate their risk-weighted assets could create a $15bn-plus capital hole at four of Europe's largest banks, according to new research, with Barclays and Deutsche Bank hardest hit.

In a note published yesterday morning, JP Morgan's banks research team, led by Kian Abouhossein, set out the discrepancies between how different banks approach calculating their market RWAs.

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