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Suppose that the assets of a bank consist of $500 million loans to A-rated corporations. Average maturity is 5 years. The PD is 0.2% and
Suppose that the assets of a bank consist of $500 million loans to A-rated corporations. Average maturity is 5 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
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