Suppose that the assets of a bank consist of $200 million of retail loans (not mortgages). The
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Suppose that the assets of a bank consist of $200 million of retail loans (not mortgages). The PD is 1% and the LGD is 70%. What is the risk-weighted assets under the Basel II IRB approach? What are the Tier 1 and Tier 2 capital requirements?
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