caramelhan
2019-08-26 09:42The risk management department at Southern Essex Bank is trying to assess the impact of the capital conservation and countercyclical buffers defined in the Basel III framework. They consider a scenario in which the bank’s capital and risk-weighted assets are as shown in the table below (all values are in EUR millions): Risk-weighted assets 3,110 Common equity Tier 1 (CET1) capital 230 Additional Tier 1 capital 34 Total Tier 1 capital 264 Tier 2 capital 81 Tier 3 capital - Total capital 345 Assuming that all Basel III phase-ins have occurred and that the bank’s required countercyclical buffer is 0.75%, which of the capital ratios does the bank satisfy? 請(qǐng)問此題若是滿足CB，則capital conservation buffer應(yīng)達(dá)到345/3110對(duì)么？謝謝
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Robin Ma助教
2019-08-26 10:26
該回答已被題主采納
同學(xué)你好，加入留存緩釋資本CCB（2.5%的一級(jí)核心資本） 和逆周期緩沖資本CB（0.75%的一級(jí)核心資本）后，一級(jí)資本的要求率達(dá)到（6+2.5+0.75 ，即8.25%） 一級(jí)核心資本的要求率達(dá)到了（4.5%+2.5%+0.75%=5.25%），總資本要求率達(dá)到了（8+2.5+0.75，即 11.25%），所以要想滿足這個(gè)指標(biāo)的話，那么一級(jí)資本需要8.25%*3110=256.575，一級(jí)核心資本需要0.0525*3110=163.275，總資本需要11.25%*3110=349.875。 因?yàn)镃CB和 CB是兩個(gè)概念，一般來說CCB是固定的2.5%而且先繳納CCB再補(bǔ)充CB，所以要根據(jù)實(shí)際情況計(jì)算，基本思路在上面已經(jīng)寫過了。
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