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
Common stocks A, B, C, and D had the following quarterly returns. A B C D 0.07 0.05 0.07 0.12
Question: Consider a project that involves the purchase of a $100,000 machine. The machine will last for three years. It is expected to produce 20,000 units per year. The sa
what is a maximum leverage ratio covenant designed to control
how to calculate the value of ordinary share
Q. Investors advantage from financial intermediation? Investors advantage substantially from financial intermediation because: (a) By investing in a market or bank investors
Group retained profits Retained profits ideally should be the amounts that can be distributed as dividends. Therefore, in arriving at group retained profits, careful attention s
Personal Property - Movable property which isn't affixed to land (REAL PROPERTY). Personal property comprises tangible items likecars, cash and computers and intangible items, like
Agreements to settle property The trustee is not bound by such an agreement if it remains executory. If property has already been settled, the trustee can recover it unless it
Balance Sheet and Income Statement Commentary
Q. What is Financial Statements? Financial Statements - Presentation of financial data involving BALANCE SHEETS, INCOME STATEMENTS and STATEMENTS OF CASH FLOW or any supporting
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: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd