FRM II-CR Test 4

anbu.edu
Finance Junkie
Posts: 205
Joined: Mon Feb 04, 2013 3:35 pm

FRM II-CR Test 4

Postby anbu.edu » Tue Sep 16, 2014 7:24 am

Using the single factor model, a firm’s conditional default distribution is calculated with mean and
standard deviation equal to -0.438 and 0.683 respectively. What is the market return for that firm?
Select one:
a. 0.6
b. -0.6
c. 0.73
d. -0.8


I cant understand the calculation.. can anyone explain

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

FRM II-CR Test 4

Postby edupristine » Fri Sep 19, 2014 1:23 pm

Can you please give us a source.


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