nts) A bank has a USD 100 million portfolio of loans with a PD of 0.75%. What is the 99.9 percentile of the default rate given by the Vasicek model? Assume a correlation parameter of 0.2 . If the recovery rate in the event of default is 30%, what is the required regulatory capital? Hint: the formula for the required regulatory capital is (WCDRPD) LGDEAD. For economic capital purposes, a bank uses a 99.97% confidence level. What is the economic capital in the situation considered in the previous two questions