|
TTSR
|
DD issue/outward remittances/cancellation of FE
purchase, x bill returned unpaid , Cr in Vostro A/c
|
|
BSR
|
Payment against import bills
|
|
TTBR
|
Cr in Nostro account ,inward remittances, FE bills
collected, cancellation of FE sold
|
|
BBR
|
foreign bill purchase
|
|
B
RM
|
|
|
Risks
|
C(cc)
O(tc) I(bngrey) L(ftc) M(fm)- BASEL II- 3 PILLARS-MMS
|
|
SD
|
SQR RT OF VARIANCE
RISK
%age: SD/Mean CASH FLOW
|
|
Daily %Loss
|
(Daily Loss/Total position)X100; DEFEASANCE
FACTOR=daily %loss X std deviation
|
|
VaR of portfolio
|
Total position X Defeasance factor MKT
FACTOR SENSITIVITY OF PORTFOLIO IS 1%
|
|
BPV
|
100 BPV=1% , 1 BPV=100 Book Value, Mod Duration=
(Mac D)/1+(y/n) PRICE
VALUE OF A BASIS POINT= INITIAL PRICE-PRICE WHEN YIELD IS CHANGED BY X BASIS POINTS BPV=(CHANGE
IN PRICE/CHANGE IN MARKET YIELD) X100
%CHANGE IN PRICE=MOD/YIELD CHANGE OR MOD X YIELD
|
|
Gap ratio
|
(RSA-RSL)/Avg Earning Assets Exp
incremental NPA= (EAD X PD X Exposure)
|
|
MKT PRICE=
|
(COUPON INT x FACE VALUE)/Current yield; CURRENT
YIELD=COUPON INT/MKT VALUE
YIELD= (RATE OF
BOND/MARKET VALUE) X 100
|
|
ESTD LEVEL OF OPERATIONAL RISK
|
UNDER ROOT OF (PROB. OF OCCURRENCE x POTENTIAL
FINANCIAL IMPACT x IMPACT OF INT.
CONTROL)
|
|
PRICE VOLATILITY
|
(YIELD VOLATILITY X BPV X YIELD)/PRICE LEVERAGE RATIO=RSA/(TIER 1+TIER
2)
|
|
DURATION GAP
|
=(DA)-(W X DL) where W(WEIGHT)=RSA/RSL, DA=
Weighted average Modified Duration of Assets
DL= Weighted average Modified Duration of liabilities;
MD OF EQTY= D GAP X LEVERAGE RATIO
|
|
CAR & CRAR
|
CAR=CAPITAL FUND/TRWA CRAR=(TIER 1+TIER 2)/TRWA Capital funds = Tier I + Tier II
|
|
Tier I CRAR
|
Eligible Tier I capital/ ( RWAs for credit Risk + RWAs
for market risk + RWAs for Operational Risk)
|
|
B/E OF A STOCK PRICE
|
CALL OPTION STRIKE PRICE+PREMIUM PAID
|
|
Interest Rate Sensitive Gap
|
Interest Rate Sensitive Asset- Interest rate sensitive
liabilities
|
|
Un-availed portion of sanctioned fund based
facilities =
|
20% of undrawn portion( i.e. limits sanctioned-balance
outstanding ) under all fund based facilities with maturity up to and
inclusive of 1 year + 20% of Un-drawn portion of term loan , which is to be
drawn with in 1 year + 50% of Un-drawn portion of the term loan , which is to
be drawn after 1 year
|
|
Capital Charge for General Market Risk of a
society
|
Modified duration of security ×
Market value of Security × Assumed change in yield
|
|
BUSINESS LINES BETA FACTORS
|
RETAIL BANKING, RETAIL BROKERAGE,
ASSET MANAGEMENT=12%
COMMERCIAL BANKING, AGENCY SERVICES=15% CORPORATE FINANCE, TRADING, PAYMENT & SETTLEMENT ACTIVITIES=18% |
|
SENSITIVITY=
|
PORTFOLIO CHANGE/RATE OF
INTEREST
|
|
OPERATION RISK
|
SQR ROOT OF PROB. OF OCCURRENCE
X IMPACT OF IC X POTENTIAL FOR IMPACT
|
Sunday, June 7, 2015
CAIIB - BFM INPORTANT FORMULAS FOR EXAMS
