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Published date: 17 December 2013

Report on variability of Risk Weighted Assets for Market Risk Portfolios

This report outlines the conclusions obtained from a market hypothetical portfolio exercise (HPE) which has been conducted by the EBA during 2013 in parallel with a similar exercise performed by the Basel Committee's SIGTB. The main objective of this exercise has been to assess the level of variability observed in market Risk Weighted Assets (RWA) produced by banks' internal models.