Consider a financial institution with two assets: 10 percent of the portfolio in one-month Treasury bills and 90 percent in real estate loans. If the FI must liquidate its T-bills today, it receives $98 per $100 of face value; if it can wait to liquidate them at maturity (in one month’s time), it will receive $100 per $100 of face value. If the DI has to liquidate its real estate loans today, it receives $85 per $100 of face value, and liquidation at the end of one month will produce $90 per $100 of face value. What is the one-month liquidity index value for this FI’s asset portfolio? Express your answer in decimals (not in percentage points) and round your answer to the nearest 2nd decimal.

Banks typically operate with liquidity coverage ratios (LCRs) and net stable funding ratios (NSFRs) that are at or below the regulatory minimum of 100%.

Identify the problem or problems of the linear discriminant model in default risk analysis.

In your role as a loan officer making credit decisions, which of the following items constitute systematic risk factors?

Given:

A = 100

Use:

ΔE ≈ −DG × A × (Δr / (1 + r))

where

DG = D_A− (L/A)D_L

What is the approximate change in equity?

k = L / A