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来自:FRM > 二级 > Operational and Integrated Risk Management 2020-09-14 20:37
老师,请问这几个比率的requirement 要怎么计算呢?例如5.25%CET1 capital requirement
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jason    2020-09-15 14:50

致精进的你:

同学可能题干The CRO is conducting the analysis for January 2017 using selected and most recent annual performance data ,which are shown in the table 的图表没有显示出来。表中包括CET1 capital=1515,preferred stock(noncumulative)=100,Tier 2 capital =827,risk-weighted asset =26395,total asset=42828,total exposure=47460;以及The CRO also reports the minimum regulatory capital requirements under the revised capital framework as presented in the table ,表中包括January 2017 minimum ratio:capital conversation buffer=1.25%,G-SIB surcharge =1.5%,CET1 ratio=5.25%,Tier 1 capital ratio=6.75%,total capital ratio=8.75%,leverage ratio=4%.根据题干信息代入公式可得各ratio ,与January 2017 minimum ratio作比较后选出符合最低要求的比率。

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