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LHY · 2020年08月08日

问一道题:NO.PZ2019070901000088

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

1 个答案

小刘_品职助教 · 2020年08月09日

同学你好,

这道题是按照定义来做的,供参考。

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2023-10-04 05:42 1 · 回答

老师,还是不明白为什么150%对应的是10,是因为剩下的部分被collateral覆盖掉了吗?

2020-09-29 23:41 1 · 回答

这里对手的rating和保险的 rating是干扰项吗?实际排名多少并没关系么

2020-09-04 00:40 1 · 回答