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Suppose that the assets of a bank consist of $1000 million loans to A-rated corporations. Average maturity is 8 years. The PD is 0.2% and
Suppose that the assets of a bank consist of $1000 million loans to A-rated corporations. Average maturity is 8 years. The PD is 0.2% and the LGD is 60%.
A) Determine the risk-weighted assets and the minimum required capital under Basel I.
b) Determine the risk-weighted assets and the minimum required capital under the Basel II standardized approach.
C) Determine the risk-weighted assets under the Basel II IRB approach? What is the Tier 1 capital required?
please show work and explain
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