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QUESTION 6 (5) Suppose the total credit portfolio for LintBank, an Austrian bank is 745...

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Finance

QUESTION 6 (5)

Suppose the total credit portfolio for LintBank, an Austrian bank is 745 million. Within a given level of confidence the expected credit loss is estimated at 6.32% and the unexpected credit loss is estimated at 0,68%. (a) Estimate the size (i.e., in percentage) of the Economic capital (for credit risk) that this bank must hold. {2} (b) Estimate the amount (in ZAR, given a current exchange rate of 0.0958 per ZAR) of Economic capital that this particular bank must hold.

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