7/11/2022
| Probability of Default | Loss Given Default | Risk Free Rate | Minimal Interest Rate | |
|---|---|---|---|---|
| Year 1 | ||||
| Year 2 | ||||
| Year 3 | ||||
| Year 4 | ||||
| Year 5 |
| Kredithöhe | Return on Equity Weighting | Return on Equity | Spread |
|---|---|---|---|
| Probability of default | Losses given default | Risk free rate | Minimal Interest Rate | REL | RUL | Full Remuneration | |
|---|---|---|---|---|---|---|---|
| Year 1 | 1.5000% | 45.0000% | 0.0000% | 6.2500% | 7.0305% | +0.2350% | =7.2655% |
| Year 2 | 1.5000% | 45.0000% | 0.0000% | 6.4310% | 6.8471% | +0.2359% | =7.0830% |
| Year 3 | 1.5000% | 45.0000% | 0.0000% | 6.6160% | 6.9108% | +0.2368% | =7.1476% |
| Year 4 | 1.5000% | 45.0000% | 0.0000% | 6.7680% | 7.0017% | +0.2376% | =7.2393% |
| Year 5 | 1.5000% | 45.0000% | 0.0000% | 6.8770% | 7.0734% | +0.2381% | =7.3115% |
| REL | RUL | Full Remuneration | |
|---|---|---|---|
| SLA | 6.9566% | 0.2362% | 7.1928% |
| SLA2 | 6.9837% | 0.2372% | 7.2206% |
| SLA3 | 6.9726% | 0.2367% | 7.2093% |
| Bullet Loan | 7.0564% | 0.2381% | 7.2938% |
Dieser Zinsrechner wurde nach dem Modell des Papers Pricing Risky Bank Loans in the New Basel II Environment entwickelt.
Expected Loss (page 8)
Such losses are related to the counterparty's probability of default and the recovery rate on the specific credit facility, whose estimates stem from the Bank's internal rating system. Since these losses are expected, they must be covered by appropriate accounting provisions.
Unexpected Loss (page 8)
Such losses are a function of the PD volatility and consequently of the bank's portfolio correlation. The bank has to use economic capital to hedge these losses. An estimate of these losses can be obtained through a portfolio model – internal, external or regulatory – based on a methodology à-la-VaR.