小弟下周一要交一份risk management作业，有一章关于Basel的内容的章节没有读（实在没有时间做，因为周末要加班），作业当中有一道Basel的题。请达人帮忙解解。小弟万分感激！！！！
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 3 years and the LGD is 60%. What is the risk-weighted assets for the 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 ?
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发表于 2007-10-20 13:06
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