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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Standardized approach
This is simple. The capital charge is simply a multiple of the gross revenue of an activity, averaged over the last three years. With reference to Stage 3, gross revenue is the sum of net interest margin and non-interest income (such as fees).
| Business lines | Beta factors |
|---|---|
| Corporate finance | 18% |
| Trading and sales | 18% |
| Retail banking | 12% |
| Commercial banking | 15% |
| Payment and settlements | 18% |
| Agency services | 15% |
| Asset management | 12% |
| Retail brokerage | 12% |
Capital ≥ beta factor × average gross income of last 3 years.
For example, in the case of retail banking, this is calculated as follows:
CapitalRetail ≥ 12% × average gross income of last 3 years.
Again, the risk-weighted asset for operational risk is equal to:
RWAoperational risk = capital × 12.5 ...
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