NO.PZ2020011303000129
问题如下：
A bank has a USD 100 million portfolio of loans with a PD of
0.75%. Assume a correlation parameter of 0.2.
The 99.9 percentile of the default rate given by the Vasicek model is 0.1201.
The recovery rate in the event of a default is 30%. What is the required regulatory capital?
选项：
A.USD 9.10 million
B.USD 6.50 million
C.USD 7.58 million
D.USD 7.88 million
解释：
题目问：接上一个题，如果recovery rate=30%，求要求的regulatory capital是多少？
This is in USD million: (0.1201-0.0075)×100×0.7=7.88
这里的EAD为什么可以直接使用100M？
