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Table 6 Asset Structure of an Italian Bank

From: On meeting capital requirements with a chance-constrained optimization model

Assets Collateral status Interest rate \((\%)\) Recovery rate \((\%)\) Risk weights \((\%)\) Mean Variance Allocation
\((\zeta _1)\) 3 year AAA commercial and industrial loan Inventory or account receivables 4.98 56.66 20 0.9143 0.0196 0.0010
\((\zeta _2)\) 5 year AA agriculture and farm loan Land, equipment, crops, livestock etc 5.71 56.66 50 0.8696 0.0347 0.1664
\((\zeta _3)\) 2 year BBB personal loan Unsecured 6.51 37.98 75 0.9247 0.0233 0.1121
\((\zeta _4)\) 3 year B education loan House, land etc 5.87 56.66 75 0.6215 0.0929 0.4192
\((\zeta _5)\) 4 year A vehicle loan Savings account or car itself 5.14 56.66 75 0.8451 0.0360 0.2912
1 year treasury bill Not applicable 0.8 100 0 1.008 0 0.0101
Fixed assets Not applicable 0 100 0 1 0  
Non-interest earning assets Not applicable 0 100 0 1 0