Q-114. A bank has a $100 million portfolio of loans with a PD of 0.75%. The correlation parameter is estimated to be 0.2, and the recovery rate in the event of a default is 30%. Suppose that the 99.9-percentile of the default rate given by the Vasicek model is 12.01%, what is the required regulatory capital?

A. $5.88 million.

B. $6.88 million.

C. $7.88 million.

D. $8.88 million.