credit risk

agrawal.caamit
Posts: 7
Joined: Mon May 05, 2014 7:53 am

credit risk

Postby agrawal.caamit » Mon May 05, 2014 8:16 am

A portfolio consist of two long asset £100 million each.probability of default over next yr is 10% for 1st asset, 20% for 2nd asset nd joint probability of default is 3% . Estimate d expected loss on dis portfolio due to credit default over d next yr assuming 0 recovery rate.

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

credit risk

Postby edupristine » Mon May 05, 2014 2:01 pm

Please always provide the source of question. It will be helpful to answer quickly.

agrawal.caamit
Posts: 7
Joined: Mon May 05, 2014 7:53 am

Postby agrawal.caamit » Thu May 08, 2014 2:14 am

Question is from garp practice question bank.


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