Q21 contd Final Exam Practice Questions 29Solution Using Table 152 the credit

Q21 contd final exam practice questions 29solution

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Q.21 (cont’d) Final Exam Practice Questions 29
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Q.22(LN11, Chpt15.22) Suppose that the assets of a bank consist of $500 million of loans to BBB-rated corporations. The PD for the corporations is estimated as 0.3%. The average maturity is three years and the LGD is 60%. What is the total risk-weighted assets for credit risk under the Basel II advanced IRB approach? How much Tier 1 and Tier 2 capital is required? How does this compare with the capital required under the Basel II standardized approach and under Basel I? Final Exam Practice Questions 30
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Q.22 (cont’d) Final Exam Practice Questions 31
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