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 |