What makes credit risk more difficult for quantification and backtesting than market risk?

Question:

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

See More Books

Question Posted: May 03, 2016 02:24 AM

See More Questions

(Multiple choice) 1. In a fraud investigation, documents: a. Usually contain extremely valuable information. b. Are rarely used in court. c. Are not reliable sources of information. d. Are only...
What makes the doctrine of confidentiality more difficult to grasp in cases where the client is an organization, such as a corporation?
Why is credit risk modeling more difficult than interest-rate modeling?
Bob drives off in Freds car mistakenly believing that it is his. Is this theft? Explain.
Minturn Enterprises, Inc., operates as three autonomous companies, each with a chief executive officer who oversees its operations. At a recent corporate meeting, the company CEOs agreed to adopt...
Let X1,..., Xn be a random sample from a n(Î¼, Ï2) population, where both Î¼ and Ï2 are unknown. Each of the following methods of finding confidence intervals for...
Explain the purpose of the judges charge to the jury.
Miller Corporation is considering replacing a machine. The replacement will reduce operating expenses (that is, increase earnings before depreciation, interest, and taxes) by $16,000 per year for...
A . Prepare an income statement for the year ended dec . 3 1 2 0 2 3 B . Prepare a retianed earnings statement for the year ended dec. 3 1 2 0 2 3 C . Prepare the stock holders equity section of the...
What value of A makes the two annual cash flows shown in the following diagram equivalent at 10% interest compounded annually? $200 $200 $200 $200 $200 1 2 3 4 Years A A A 1 2 3 5 Years 4,
The Basel II capital charges are additive. Generally, economic capital cannot be decomposed into a simple sum. Explain the meaning of portfolio invariance and how this is applied to the Basel II...
Explain why the distribution of credit-risk gains and losses is similar to a short position in an option. Discuss loans and derivatives.
Use properties for summation notation to find the sum. 17 (1 4K)
A binary mixture of carbon dioxide and water exists in vaporliquid equilibrium at 343.15 K and 1 bar. The solubility of CO2 in the liquid has been measured as xCO2 = 0.000255. What is the Henrys law...
A major problem with EDs is the long wait times to be seen. This can lead to negative health consequences as well as patient dissatisfaction. What are the possible approaches to address this...
Describe how library and Internet research can be used to generate new business ideas.
Assume Coleco pays an annual dividend of $1.53 and has a share price of $37.03. It announces that its annual dividend will increase to $1.77. If its dividend yield is to stay the same, what should...
Challenge Partners had the following balance sheets at December 31: On that date, it distributed Property 1 to Karen in complete liquidation of her interest in the partnership. a. Will Section 751...
Solve Problem 8.10 using L. Casagrandes method. Data From Problem 8.10 Refer to the cross section of the earth dam shown in Figure 8.19. Calculate the rate of seepage through the dam (q in m 3...
Discuss the information available from the following techniques in the analysis of inorganic pigments used in antique oil paintings: (i) Powder X-ray diffraction, (ii) Infrared and Raman...
The Clap Chemical Company needs a large insulated stainless see tank for the expansion of its plant. Clap has located such a tank at a recently closed brewery. The brewery has offered to sell the...
The plant manager has just purchased a piece of unusual machinery for $10,000. Its resale value at the end of 1 year is estimated to be $3000, because the device is sought by antique collectors,...
In a replacement analysis problem, the following facts are known: Initial cost $12,000 Annual Maintenance None for the first 3 years $2000 at the end of the fourth year $2000 at the end of the fifth...
In North Carolina, transaction records must be retained for several years. Unset starred question At the conclusion of the transaction, or after all transaction funds held by the broker have been...
How has organizational culture been a factor in the success of a business?
Your rent is $800 a month, health insurance is $200, food is $1000, clothing budget is $150 (for everyone), electric is $70, gas is $110, cell phone is $100, car insurance is $114 and you spend...

What makes credit risk more difficult for quantification and backtesting than market risk?

Question:

Step by Step Answer:

Because credit events occur with low frequency it is harder to quantify default ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

Students also viewed these Finance questions