Suppose that the assets of a bank consist of 200 million euros of 1-year loans to BB-rated corporations.

The PD is 2% and the LGD is estimated to be 70%.

Remember: In computations, round off all valurs to the 4th decimal place.

The WCDR is equal to :

The amount in million euros of capital requirements under the F-IRB approach is

Exercise 5 2 points possible (graded) Suppose that the assets of a bank consist of 200 million euros of 1-year loans to BB-rated corporations, The PD is 2% and the LGD is estimated to be 70%. Remember: In computations, round off ALL values to the 4th decimal place. The WCDR is equal to The amount in million euros of capital requirements under the F-IRB approach is 2,1 1817 Exercise 6 3 points possible (graded) The buyer of a 2-year CDs pays 5000 euros every quarter to the the seller of the swap