NO.PZ2023102301000036
问题如下：
The board of directors at Bank PQP is evaluating a proposal by senior management to restructure the operations of the bank. Of key concern is the future of the bank’s consumer lending division, which has a loan portfolio amounting to EUR 180 million. The bank funds the division predominantly using unstable retail and wholesale deposits. In analyzing the credit risk condition of the division, management determines that the probability of default is 8%, the loss given default is 70%, and the exposure at default is 100% of the loan exposure. The CEO is arguing that the risk capital that has been set aside to support consumer lending, in line with the bank’s stated risk appetite, is too high compared to the performance of the other business divisions. The bank applies the same hurdle rate and effective tax rate across all business lines, and a 1-year horizon to measure parameters whose values are shown in the table below:
Assuming earnings correlations between the various divisions are the same and the main objective of each division is to add value for the bank’s shareholders, which of the following recommendations of the board is correct?
选项：
A.Close down the consumer lending division because the adjusted RAROC is less than the risk-free rate B.Close down the consumer lending division because RAROC is less than the hurdle rate C.Keep the consumer lending division because the adjusted RAROC is greater than the risk-free rate D.Keep the consumer lending division because RAROC is greater than the hurdle rate解释：
where:
ER = Expected revenue = 0.14 x 180,000,000 = EUR 25.2 million
IC = Interest costs = 0.04 x 180,000,000 = EUR 7.2 million
OC = Operating costs = EUR 1.595 million
EL = Expected losses = PD x LGD x EAD = 0.06 x 0.6 x 1.0*180 million = EUR 6.48 million
Taxes = (25.2 – 7.2 – 1.595 – 6.48)*(0.32) = EUR 3.176 million
RORC = Return on risk capital = 0.03*135,000,000 = EUR 4.05 million
Transfers = 0
Adjusted RAROC = RAROC - b *(Rm - rf ) = 7.9993 -1.05 *(7 - 3) = 3.7993 = 3.8%
Therefore, adjusted RAROC is greater than the risk-free rate, so the correct decision is to keep (accept) the consumer lending division as it can add value to the bank’s shareholders, on a risk-adjusted basis. RAROC and the hurdle rate are about the same and, using the criterion, the board would be indifferent.
EL的计算公式中0.06和0.6是如何得出？
