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Loan & Risk Parameters
Loan Parameters
Credit Risk Parameters
Capital Parameters
Cost Inputs
Reference Data
Rating to PD Mapping (Basel)
| Rating | PD pa |
|---|---|
| AAA | 0.01% |
| AA | 0.02% |
| A | 0.07% |
| BBB | 0.18% |
| BB | 0.72% |
| B | 2.00% |
| CCC | 10.00% |
| CC | 25.00% |
LGD Benchmarks (Basel II)
| Seniority | LGD |
|---|---|
| Senior Secured | 25% |
| Senior Unsecured | 40% |
| Subordinated | 65% |
| Unsecured SME | 45% |
RAROC Formula
RAROC = Net Income after Tax / Economic Capital
Economic Capital approximated via simplified Basel IRB formula incorporating PD, LGD, asset correlation, and maturity adjustment at 99.9% confidence. SA approach uses risk-weight table × 8%.
Value created when RAROC > Hurdle Rate.
Economic Capital approximated via simplified Basel IRB formula incorporating PD, LGD, asset correlation, and maturity adjustment at 99.9% confidence. SA approach uses risk-weight table × 8%.
Value created when RAROC > Hurdle Rate.
Regulatory Reference
Basel II BCBS 128 (2006). Basel III BCBS 189 (2010). Simplified public approximation — not a substitute for internally approved IRB models.
v1.0 · May 2026 Cat-28
RAROC Analysis Results
P&L Waterfall (per annum, $M)
Sensitivity Analysis — RAROC (%)
Rating Cross-Reference (current spread & LGD)