Ciskei Commercial Bank has a credit portfolio of R7.5 bn, with an average portfolio default...
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Ciskei Commercial Bank has a credit portfolio of R bn with an average portfolio default probability PD of The net income or margin is If the portfolio collapses, about of recovery can happen. Therefore, the maximum loss would be R bn x bn Hence, the outcome shows a gain of roughly R m versus a loss of R bn Ciskei Commercial Bank maintains a capital adequacy ratio and the portfolio exposure RWA is R bn Based on the Kelly Criterion, how much capital buffer should Ciskei Commercial Bank maintain?
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