Question
GlobalBankCrdit Financial Holdings PLC estimates that 14% of its AAA to AA- rated loans are at risk for a downgrade to BBB+. Calculate the effect
GlobalBankCrdit Financial Holdings PLC estimates that 14% of its AAA to AA- rated loans are at risk for a downgrade to BBB+. Calculate the effect this would have on its minimum capital requirement under Basel III using the table below.
|
| Amount in USD | Risk Weight % | Risk-adjusted Asset Value in USD |
| Cash and equivalents | 5,000,000 | ? | ? |
| Government securities | 1,500,000,000 |
? | ? |
| Inter-bank loans | 100,000,000 | ? | ? |
| Mortgage loans | 2,000,000,000 |
? | ? |
| Ordinary loans |
| ||
| BBB+ - BBB- | 377,000,000 |
? | ? |
| AAA AA- | 473,000,000 | ? | ? |
| Standby letters of credit | 81,000,000 | ? | ? |
| Total Assets in USD | ? | ? | |
| Basel II minimum % | No longer relevant | ||
| Basel III minimum % | ? | ? |
This will require GlobalBankCrdit Financial Holdings PLC to ____ its reserves by $____.
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Machine Learning In Finance From Theory To Practice
Authors: Matthew F Dixon, Igor Halperin, Paul Bilokon
1st Edition
3030410676, 978-3030410674
