Sheet1
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Basel II IRB risk weighted function
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LGD
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50%
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50%
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50%
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50%
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50%
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50%
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50%
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50%
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50%
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50%
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PD
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0.50%
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1.00%
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1.50%
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2.00%
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2.50%
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3.00%
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3.50%
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4.00%
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4.50%
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5.00%
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M
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3.000
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3.000
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3.000
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3.000
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3.000
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3.000
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3.000
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3.000
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3.000
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3.000
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Solving for capital requirement (K):
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lambda
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0.221
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0.393
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0.528
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0.632
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0.713
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0.777
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0.826
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0.865
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0.895
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0.918
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b
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0.158
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0.127
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0.110
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0.099
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0.091
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0.085
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0.080
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0.075
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0.072
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0.068
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rho
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0.213
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0.193
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0.177
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0.164
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0.154
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0.147
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0.141
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0.136
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0.133
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0.130
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Wghtd Inverse, Std Normal Cuml Distribution (PD)
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-2.904
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-2.589
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-2.392
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-2.246
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-2.131
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-2.036
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-1.955
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-1.884
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-1.820
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-1.763
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Wghtd Inverse, Std Normal Cuml Distribution (99.9%)
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1.610
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1.510
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1.432
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1.369
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1.320
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1.282
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1.251
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1.227
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1.208
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1.194
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Std Normal Cuml Distribution
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0.098
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0.140
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0.169
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0.190
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0.209
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0.225
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0.241
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0.256
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0.270
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0.284
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Maturity (M) function
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1.413
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1.313
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1.265
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1.234
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1.211
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1.195
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1.181
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1.170
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1.160
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1.152
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Effective PD
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0.138
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0.184
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0.213
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0.235
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0.253
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0.269
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0.284
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0.299
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0.314
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0.328
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K=LGD*PD
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6.9%
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9.2%
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10.7%
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11.7%
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12.6%
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13.5%
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14.2%
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15.0%
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15.7%
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16.4%
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Sheet2
Sheet3
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