来自：FRM > 二级 > 综合押题 2020-09-16 21:50
老师您好，472题，求讲解这个公式，这一章节在操作风险基础讲解中没有找到呀
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shan
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1768天前
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shan
提问
264
上次登录
1768天前
jason 2020-09-17 11:20
致精进的你:
The required economic capital to support a loan in the RAROC model can be calculated using the following formula: where LEF represents the loan equivalent factor and CF represents the capital factor. Therefore, the initial required economic capital is calculated as follows: [(1 billion×0.3) + (1 billion×0.7×0.35)]×0.025 = 0.0136 billion And the required capital if the change is implemented would be: [(1 billion×0.3) + (1 billion×0.7×0.7)]×0.025 = 0.0198 billion Hence the additional required economic capital would be 19.75 – 13.625 = 6.13 million. 同学，这是综合应用的题目
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