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Purchasing Power Parity Theorem
Interest Rate Parity Theorem
Liquidity Risk
Liquidity Index
[(
) (
)]
o W
i
= the per cent of each asset in the DI's portfolio
o P
i
= the immediate sales price
o P
i
*
= the fair market price
Capital Adequacy
Leverage Ratio
Capital-Assets (Leverage) Ratio: L =
o Tier 1 capital = core capital
Book value of common equity
Qualifying cumulative perpetual preferred stock
Minority interests held in the consolidated subsidiaries, minus goodwill
Risk-based capital ratio
Risk-based capital ratio =
Calculating credit-risk adjusted assets:
o a
i
= dollar (book) value of the ith asset on the balance sheet
o w
i
= risk-weight of ith asset, where i = 1 to n
Minimum capital ratios for credit risk under Basel II
Tier 1 (core) capital ratio =
( )
Total risk-based capital ratio =
( )
Securitisation
Interest Only Strips
Principal Only Strips