March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Solution to Stage Six
| 1: | 
The risk-weighted assets (RWA) are calculated as follows: RWA = 0% × (60 + 195) + 20% × (375) + 50% × (525) + 100% × (450 + 45) = 832.5 Tier 1 capital: 55/832.5 = 6.61% Tier 2 capital: 25/832.5 = 3.0% BIS capital ratio = Tier 1 + Tier 2 = 6.61% + 3.0% = 9.61% | ||||||||||||||||||||||||||||||||
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