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
PROTECTION OF PROPERTY OF A DECEASED PERSON (a) No person may take possession of or dispose of or otherwise intermeddle with, any free property of a deceased person, unless he
Receiver appointed by court If appointed by the court, the receiver must give security as directed by the court. The following notification must be given: (a) The debenture h
Problem1 Derive from first principles an expression for the variance of the benefits payable under an endowment assurance with benefits payable at the end of the year of death.
Illustration of change in profit sharing ratio A, B and C have been trading as equal partners having capital contributions of £400,000, £300,000 and £200,000 respectively. They
What is a cash budget? How it is useful in managerial decision making?
STATEMENTS OF FINANCIAL POSITION: as at 31 December 2011 Group Note 2011 2010 RM'
The current market price of a Leigh bond is $1,297.6. If the coupon rate is 10% and the par value is equal to $1,000, what is the yield to maturity of the bond if it matures in 10
Explain:- Q.1 Explain the ways in which the needs of internal and external users of accounting information are the same and different. Q.2 Why is it important for financial sta
Are u there?
Using the profitability index, which of the following projects should be accepted? Project M: NPV = $60,000 NINV = $200,000 Project N: NPV = $10,000 NINV = $
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