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
how to solve balance sheet in five million capital
1. Lett Corp declared and issued a 15% stock dividend when they had 100,000 shares of common stock issued and outstanding. The market price of the stock was $20 per share on the de
Calculate the value of each of the following bond Issuer Face Value Coupon Rate Maturity Bid Yield Bid Price
Write at least 7 full pages that analyzes the internal and external environments for your organization. This paper must be in essay form. [If you have formatting questions, refer t
sale of 430 to ramdas were credited in his account 340
ORDER OF PAYMENTS The bankrupt’s estate must be distributed in the following order. 1. Cost and charges: Costs and charges properly incurred in administering the estate mu
The office building was bought in January 1, 2011 and was originally planned to be used for 40 years and had no salvage value. It is depreciated on a straight line basis. Now in
a recommendation regarding the current south African vat system
examine the resemblance between Artificial intelligence and neural networks
During its financial year ended 30 June 20x7 Beavers Ltd, an engineering company, has worked on several contracts. Information relating to one of them is given below.
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