Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
You have an investment in a portfolio with a counterparty whose current credit rating is Baa. The current market value of the portfolio is $50,000,000 and its annual volatility is 40%. Given below are the credit transition matrix and the 1 year default probabilities. Transition Matrix (As Percentages):
Aaa Aa A Baa Ba B Caa Ca-C D
Baa 0.05 0.34 4.94 87.79 5.54 0.84 0.17 0.02 0.01
Default Probability (As Percentages):
0 0.008 0.02 0.017 1.125 4.66 17.723 25.213 1
a. Estimate the 1 year 99% Parametric Market VAR (Credit Exposure) for the investment (z = 2.33). Note: For parametric VAR we assume normal distribution.
b. Attached Excel spreadsheet shows the results of 1000 random draws from a standard normal distribution. Using these values and the tables above, estimate the distribution of one year default probabilities and credit losses (Credit Loss = Market VAR*default Probability).
c. Estimate the 99% Credit VAR
APPORTIONMENT (a) T he purpose of the apportionment rules The purpose of the various rules of apportionment is to provide a fair and reasonable basis for dividing certain
question 5 chapter 5
Financial risk is the likelihood of a company experiencing changes in the level of its distributable earnings as a result of the need to make interest payments on debt finance or p
Ask question #what are the additional budens to the investor reuling from the mixed attribute model?
Question posted on your website
Blue sky Company's 12-31-13 balance sheet reports assets of $5,000,000 and liabilities of $2,000,000. All of the book value's are the same as the market values except for land, whi
Question: (a) ‘Public accounting is often called fund accounting'. Describe what you understand by the term ‘fund accounting'. (b) "What's the difference between nation
PC Bank has $100,000 in fixed rate loans paying an annual interest rate of 10 percent, payable semiannually. PC Bank also has $100,000 in certificates of deposit. Their depositor
This assessment item may be completed either individually or in groups of two (2) students. The group mark on both assessment items will be given to both students. Please ensure
The management of Gimenez Corporation is investigating an investment in equipment that would have a useful life of 7 years. The company uses a discount rate of 17% in its capital b
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +91-977-207-8620
Phone: +91-977-207-8620
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd