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Quantitative Finance · Begrippenlijst

Wat is Balance-sheet charge?

Definition 5.6 The Desk and the Firm · Hoofdstuk 5 — The Bank Markets Division

A balance-sheet charge is an internal price per unit of balance sheet, usually of leverage exposure, charged to a desk for what it uses: the cost of the equity the leverage requirement makes the group hold against it.

The desk mix that maximises the division’s after-tax profit with today’s equity, when each desk may shrink to zero or grow by half and margins do not change: the balance-sheet-heavy repo desk gives its leverage exposure to the others. Data: fm_bank.mix, firm.bankdesk.optimal_mix.
Figure 5.4. The desk mix that maximises the division’s after-tax profit with today’s equity, when each desk may shrink to zero or grow by half and margins do not change: the balance-sheet-heavy repo desk gives its leverage exposure to the others. Data: fm_bank.mix, firm.bankdesk.optimal_mix.
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