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May
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Expected Loss on a Portfolio, which contains an asset and a default protection contract, due to credit defaults
This question was provided as part of my practice questions when revising for 'Professional Risk Management' PRM exam.
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Expected Loss on a Portfolio, which contains an asset and a default protection contract, due to credit defaults
If it helps the answer they have given as the correct one is 1.8 million as the estimated expected loss, I just don't know how to arrive at this answer from the information given.
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Expected Loss on a Portfolio, which contains an asset and a default protection contract, due to credit defaults
@DimitriVulis Thats all the information I was given. I assumed just for the question it means $100 million worth asset or an asset of 100 million dollar for example. It does say a 0% recovery rate for the contract counterparty.
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Calculating the Value-at-Risk when changing the confidence level
Thank you, I wasn't sure if there is a non-excel function or not for this but this answer gives the correct value, thanks for your help!
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Calculation Expecting Credit Loss from a Portfolio
Thank you Alex, I have noted the equation used for next time!
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Calculating the cumulative probability of default from recovery rate, yield and coupon rate
Thank you so much for this explanation. I noticed you mentioned 'in the absence of arbitrage', how would this effect the value?
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