i) ii) 5 6 7 8 No Business Line/Year 1 Corporate finance Trading and sales Retail banking 2 3 4 Table 1: Gross Income Levels Commercial banking Payment and settlement Agency services Asset management Retail brokerage Bank Level Amount (Millions) Disaggregate Gross Income 2018 0.7 0.5 1.3 4.1 1.1 5.7 0.5 0.2 2018 14.2 2019 0.6 2.2 2.0 0.4 1.6 2.0 0.8 0.4 Basic Indicator Approach (BIA) Standardised Approach (SA) 2020 2021 2.2 2.2 2.4 3.9 Aggregate Gross Income 2019 10.0 0.5 3.2 0.2 2.0 1.2 Beta Factor 18% 18% 12% 2.2 15% 2.2 18% 0.5 3.2 15% 1.1 1.4 12% 1.6 12% Using the information in the table above, calculate the minimum capital requirement for the years 2021 and 2022 for operational risk under Basel II using the 2020 2021 16.0 14.0 15%
i) ii) 5 6 7 8 No Business Line/Year 1 Corporate finance Trading and sales Retail banking 2 3 4 Table 1: Gross Income Levels Commercial banking Payment and settlement Agency services Asset management Retail brokerage Bank Level Amount (Millions) Disaggregate Gross Income 2018 0.7 0.5 1.3 4.1 1.1 5.7 0.5 0.2 2018 14.2 2019 0.6 2.2 2.0 0.4 1.6 2.0 0.8 0.4 Basic Indicator Approach (BIA) Standardised Approach (SA) 2020 2021 2.2 2.2 2.4 3.9 Aggregate Gross Income 2019 10.0 0.5 3.2 0.2 2.0 1.2 Beta Factor 18% 18% 12% 2.2 15% 2.2 18% 0.5 3.2 15% 1.1 1.4 12% 1.6 12% Using the information in the table above, calculate the minimum capital requirement for the years 2021 and 2022 for operational risk under Basel II using the 2020 2021 16.0 14.0 15%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Table 1: Gress Income Levels
Amount (Millions)
Beta Factor
Disaggregate Gross Income
2020 2021
0.2
2.0
1.2
2.2
2.2
2018
2019
No Business Line/Year
Corporate finance
Trading and sales
Retail banking
Commercial banking
5
0.7
0.6
2.2
18%
2.2
2.4
18%
12%
2.2
0.5
1.3
4.1
1.1
2.0
0.5
3.2
15%
18%
0.4
Payment and settlement
6.
1.6
Agency services
7.
0.5
1.1
3.2
1.4
15%
12%
2.0
5.7
0.5
0.8
Asset management
Retail brokerage
8.
0.2
0.4
3.9
1.6
12%
Aggregate Gross Income
2019
2020 2021
16.0 14.0 15%
2018
Bank Level
14.2
10.0
Using the information in the table above, calculate the minimum capital requirement
for the years 2021 and 2022 for operational risk under Basel II using the
i)
Basic Indicator Approach (BIA)
ii)
Standardised Approach (SA)
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