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Quantitative Finance · Begrippenlijst

Wat is Allocated equity, binding capital constraint?

Ook bekend als: allocated equity · binding capital constraint

Definition 5.4 The Desk and the Firm · Hoofdstuk 5 — The Bank Markets Division

A desk’s allocated equity is the share of the group’s equity it is charged with, computed from what it consumes of each constraint the group faces. The binding capital constraint of a desk, or of the group, is the constraint that requires the most equity for it: risk-weighted assets, leverage exposure or stress loss.

The six desks’ after-tax returns on equity allocated by risk-weighted assets, by leverage exposure, and by whichever requires more; the dashed line is a 12% hurdle rate. Illustrative desks; requirement levels at the scale of the dated box. Data: fm_bank.roae_table.
Figure 5.3. The six desks’ after-tax returns on equity allocated by risk-weighted assets, by leverage exposure, and by whichever requires more; the dashed line is a 12% hurdle rate. Illustrative desks; requirement levels at the scale of the dated box. Data: fm_bank.roae_table.
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