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Suppose that the assets of a bank consist of $500 million of loans to BBB-rated corporations. The real world PD for the portfolio is believed

Suppose that the assets of a bank consist of $500 million of loans to BBB-rated corporations. The real world PD for the portfolio is believed to be .3%. The average maturity is three years and the LGD is 60%. What are the total Risk Weight Assets for credit risk under the Basel II IRB approach?

How does compare with required capital under Basel I?

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