预期超过90天的不良贷款，风险权重为什么会超过100%？

问题如下：

Reddy is uncertain how risk-weighted assets are calculated and asks her co-worker David Dunsmuir. Dunsmuir explains as follows:

The assets are adjusted on the basis of their risks, with higher-risk assets receiving a higher weighting.

Cash is assigned a weight of zero, but some other assets could be assigned a weight greater than 100%.

Dunsmuir’s explanation of risk-weighted assets is best described as:

选项：

A.

correct.

B.

incorrect with respect to cash.

C.

incorrect with respect to some other assets.

解释：

A is correct. Dunsmuir’s explanation is correct. Cash is assigned a value of zero; as a result, no capital is required to fund it, whereas risky assets, such as high-volatility commercial real estate loans that are more than 90 days past due, have a weighting of greater than 100%.

B is incorrect because Dunsmuir’s statement is correct. Cash is assigned a value of zero; as a result, no capital is required to fund it.

C is incorrect because Dunsmuir’s statement is correct. High-volatility commercial real estate loans that are more than 90 days past due have a weighting of greater than 100%.