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
GOODWILL Previously under IAS 22 on Business combinations, goodwill on consolidation used to be amortized over an estimated period of years. However, IFRS 3 (still on business
Q. What is primary financial purpose? The primary financial purpose of a company is typically stated to be the maximisation of shareholder wealth and Sassone plc has declared p
Related Party Transaction - Business or other transaction between persons who don't have an arm's-length relationship (for example a relationship with independent, competing intere
2500 WORDS
Refer to Figure, using the Mason's gain formula, determine the transfer function of the system.
QUESTION 1: Part A Malcolm was in business as an import merchant and the following balances were extracted from his books on 31st December 2003: Purchases
Molina Medical Supply Company is trying to decide whether or not to continue distributing hospital supplies. The following information is available for Molina's business segments.
Fully secret trusts This is where neither the existence nor the terms of the trust are disclosed in the will. The trust will be enforced only if the following conditions are
Illustration of Deffered Tax A firm bought an item of plant at a total amount of £50,000. During the first year, the firm provided for depreciation of 10,000. The item of plant
State the role of Accounting information Accounting information has a significant role to play in reporting the extent to which different groups have benefited from the busines
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