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
Q. Show Advantages of financial intermediation? The advantages of financial intermediation are as follows Investors are able to pool their funds in a bank deposit account to
Illustration: Holding company with direct share holding Rain Ltd., Storm Ltd. and Thunder Ltd. are in the business of manufacturing tents. Their balance sheets as at 30 September
EXECUTORS' ACCOUNTS (a) Stewardship : The main object or preparing Estate Accounts is to record the assets which have been entrusted to the "stewards" — the executors — and
Maximize Z= 3x1 + 2X2 Subject to the constraints: X1+ X2 = 4 X1 - X2 = 2 X1, X2 = 0
Fraudulent preferences The trustee can set aside any transaction effected within the six months preceding the presentation of the petition in circumstances such as to make it
cheque issued and presented for payment 400 in cash book debit balance
URL services has two divisions. Basic webpages and custom webpages. Ricky Vega, Custom's manager wants to find out why Custom is not profitable. He has prepared the following repor
Q. Example on Differential cash flows? Differential cash flows: contracting out versus in-house provision NET PRESENT VALUE =£45519 The positive NPV signifies th
Your firm has been hired to examine the financial statements of Bonanza Development Corp. for possible irregularities. As part of this task, you reviewed certain land transactions
Alyssa's Custom Cakes currently sells 5 birthday, 2 wedding, and 3 specialty cakes each month for $50, $150, and $100 each, respectively.. The cost of labor is $50 per hour includi
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