Compare with the capital required under the basel

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Suppose that the assets of a bank consist of $300 million of loans to A-rated corporations. The PD for the corporations is estimated as 0.5%. The average maturity is two years and the LGD is 70%. What is the total risk-weighted assets for credit risk under the Basel II advanced IRB approach? How much capital is required? How does this compare with the capital required under the Basel II standardized approach and under Basel I? Briefly discuss the results.

Reference no: EM131992948

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