EMBATT8R MS Assignments Template Microsoft Exce Home Insert Page Layout Formulas
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Question
EMBATT8R MS Assignments Template Microsoft Exce Home Insert Page Layout Formulas Data Revew vie ?Cut aCopy Format Painter |Normal Bad Calculation ??, te t??Merge &Center.; S . % , *A al C Conditional Format as Neutral Formatting Table Number Font J17 04 Assume you have the following information on bank economic capital and correletions 2 EC Business Unit 4 Risk Type 5 Credi 6 Marke 7 Operational 8 Total 100 75 125 125 50 200 10 Correlations Market BUA Credit BUA Credit BUB Operational BUB Operational BUA Market BUB 0 25 0 15 05 12 Market BUA 13 Credit BUA 14 Operational BUA 0.4 Market BUB 0 45 0.3 6 Credt BUB Operational BUB 19 What is the total economic cepital for the bank? Ploase show al work 23 QS ?fduring a financial crisis lsses across risk types in both business were to nse in a 1 to 1 basis how would that an sct the nsk of the bank? (Ctrl) press ENTER orExplanation / Answer
1. The total economic is derived as square root of Risk weighted assets * correlation matrix * Risk weighted assets. The calculations are provided below:
Square root of
=888751/2
= 298.12
2. During financial crisis all the risk are expected to move in one direction along with different types of risk. hence correlation as an extreme condition is considered 1. i.e. sum of all risk hence the total risk will be sum of all Risk weighted Assets = 500.
75 1 0 0.25 0.5 0 0 75 100 0 1 0.15 0 0.4 0 100 25 X 0.25 0.15 1 0 0 0 X 25 125 0.5 0 0 1 0.45 0.3 125 125 0 0.4 0 0.45 1 0 125 50 0 0 0 0.3 0 1 50Related Questions
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