The capital-to-risk-weighted assets ratio for a bank is usually expressed as a percentage. The current minimum requirement of the capital-to-risk weighted assets ratio, underBasel III, is 10.5%, including the c
Capital adequacy ratios (CAR) help banks determine if they have enough capital to cover potential losses. The ratio divides a bank's capital by its risk weighted assets. The higher the ratio, the more the bank can cover its losses. Many regulatory bodies set minimum CAR requirements for banks...
When calculating the risk-weighted assets of a bank, the assets are first categorized into different classes based on the level of risk and the potential of incurring a loss. The banks’ loan portfolio, along with other assets such as cash and investments, is measured to determine the bank...
Risk-Based Capital/Risk-Weighted Assets. The Company and its Subsidiaries shall maintain as of the last day of each fiscal quarter a consolidated ratio of risk-based capital to weighted-risk assets, a...
風險性資產效率資料包絡分析法以往銀行相關的文獻聚焦於資本適足率(capital adequacy ratio)的研究,較少觸及目標(target)資本適足率以及風險性資產效率(risk-weighted assets efficiency)之探討.本研究強調銀行的分向效率(division efficiency)而非總效率,也是本文不同於以往之處.我們以台灣金控公司組織之商業銀行為研究...
Since investing in risky assets such as equities comes with additional risk (i.e. potential for loss of capital), the equity risk premium serves as additional compensation for investors to have an incentive to take on the risk. The equity risk premium has been around the 4% to 6% range, ...
calculated the optimal level of Tier 1 capital ratio. The Basel Committee (2010) calculated the optimal level of investors' equity (paid-in and retained earnings) less intangible assets and goodwill (Tangible Common Equity - TCE) as a share of risk-weighted assets. According to the Basel ...
In addition to VaR and CVaR we analyse a new measure termed here RWAVaR that was proposed in Carr, Madan and Vicente Alvarez (2011). The new measure is a formalization of the popular concept of risk weighted assets used in the Basel approach to capital requirements. The formalization allows...
The recent financial crisis led regulators to introduce nonrisk-weighted measures to assess a bank’s capability to face adverse conditions. The last part of the chapter shows how to monitor the balance between resources and investments by means of the leverage ratio. Furthermore, liquidity is ...
The Tier 1 Capital Ratio is a measure of a bank’s core capital strength and its ability to weather financial downturns. This ratio is calculated by dividing a bank’s Tier 1 capital by its total risk-weighted assets. First, let’s understand what Tier 1 capital means. Tier 1 capital re...