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Assume that the one-year probability of default is 4 the

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Mr. Rosenquist, asset manager, holds a portfolio of SEK 200 million, which consists of BBB-rated bonds. Assume that the one-year probability of default is 4%, the recovery rate is 60%, and defaults are uncorrelated over the years. What is the two-year cumulative expected credit loss on Mr. Rosenquist's portfolio?

A. SEK 6.40 million

B. SEK 6.27 million

C. SEK 9.60 million

D. SEK 9.48 million

Reference no: EM13568189

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