An FI has a loan portfolio of 10,000 loans of $10,000 each. The loans have a historical
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a. Over the next year, what are the probabilities of having default rates of 2, 3, 4, 5, and 8 percent?
b. What would be the dollar loss on the portfolios with default rates of 4 and 8 percent?
c. How much capital would need to be reserved to meet the 1 percent worst-case loss scenario? What proportion of the portfolio’s value would this capital reserve be? Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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