问题如下:
Suppose that an $80 million exposure to a particular counterparty is secured by collateral worth $70 million. The collateral consists of bonds issued by an A-rated company. The counterparty has a rating of B+. The risk weight for the counterparty is 150% and the risk weight for the collateral is 50%. The risk-weighted assets applicable to the exposure using the simple approach is?
选项:
A.$50 million
B.$80 million
C.$61 million
D.$79 million
解释:
A is correct.
考点:calculate RWA
解析:
risk-weighted assets = (0.5 x 70) + (1.5 x 10) = $50 million
为啥不是80*150% - 70*50% 呢