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An internal auditor at a commercial bank is reviewing the risk management department's credit risk calculations relating to a small business loan in the bank's portfolio. The auditor finds the following information in the calculation:
Expected loss rate: 4.62%
Probability of default: 6.79%
What recovery rate was assumed by the risk management department in calculating the expected loss?
A
32%
B
47%
C
68%
D
89%