Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

Question

Options

• A1 minus recovery rate, probability of default and exposure at default
• Bexposure at origination, exposure at default and loss given default
• Closs given default, 1 minus recovery rate and exposure at default
• Dexposure at origination, recovery rates and probability of default

• A
  14% (3)
• B
  77% (17)
• C
  5% (1)
• D
  5% (1)

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