medium · Corporate Credit Analysis credit-metrics
In the Basel IRB capital formula, if a corporate loan has a probability of default (PD) of 1.5%, a loss given default (LGD) of 45%, and a calculated conditional PD of 22% at the 99.9% stress quantile, what is the capital requirement per unit of exposure (before maturity adjustments)?
- 9.90%.
- 22.00%.
- 9.23%.
- 0.68%.
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