What is the bank's expected default frequency on its portfolio before any new product is added?
What is the bank's loss given default (loss severity) before any new product is added?
What is the bank's expected and unexpected loss and economic capital before any new product is added?
What are the ROA, ROE and RaRoC for each new product before hedging?
What is the bank's expected default frequency for each new product?
What is the bank's loss given default (loss severity) for each new product?
What is the bank's expected and unexpected loss and economic capital for each new product?
Applying the Moody's Analytics approach, what is the portfolio's volatility prior to adding new products?
Using the Moody's Analytics approach what is the bank portfolio's volatility after adding each new product (you answer should produce 4 portfolio volatilities, each associated with a new product)

 

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Assets Cash US Treasuries Bank Reserves GSE Bonds Municipal General Obligation Bonds Corporate Bonds Rated Better than A Corporate Bonds Rated Less than A Prime Residential Mortgage Loans 65% LTVs Other Consumer Loans Commercial Loans Loan Loss Reserves Total Signifies Trading Book Assets $ $ Duration Liabilities and Equity $20,000,000 0.00 Retail Demand Deposit $100,000,000 CDs $80,000,000 0.05 Brokered Deposits $140,000,000 $50,000,000 3.00 Fed Funds Purchased 2.50 Subordinate Bonds $50,000,000 2.50 Preferred Stock $30,000,000 3.00 Retained Earnings $190,000,000 Common Stock $100,000,000 $250,000,000 (10,000,000.00) $1,000,000,000 Noncumulative Perpetu Total Capital $ Duration $250,000,000 0.25 $400,000,000 3 $150,000,000 $90,000,000 $20,000,000 $30,000,000 $20,000,000 $30,000,000 $10,000,000 $110,000,000 $1,000,000,000 2 0 Assets Cash US Treasuries Bank Reserves GSE Bonds Municipal General Obligation Bonds Corporate Bonds Rated Better than A Corporate Bonds Rated Less than A Prime Residential Mortgage Loans 65% LTVs Other Consumer Loans Commercial Loans Loan Loss Reserves Total Signifies Trading Book Assets $ $ Duration Liabilities and Equity $20,000,000 0.00 Retail Demand Deposit $100,000,000 CDs $80,000,000 0.05 Brokered Deposits $140,000,000 $50,000,000 3.00 Fed Funds Purchased 2.50 Subordinate Bonds $50,000,000 2.50 Preferred Stock $30,000,000 3.00 Retained Earnings $190,000,000 Common Stock $100,000,000 $250,000,000 (10,000,000.00) $1,000,000,000 Noncumulative Perpetu Total Capital $ Duration $250,000,000 0.25 $400,000,000 3 $150,000,000 $90,000,000 $20,000,000 $30,000,000 $20,000,000 $30,000,000 $10,000,000 $110,000,000 $1,000,000,000 2 0

Answer rating: 100% (QA)

Bank Portfolio Analysis Before Adding New Products Expected Default Frequency EDF Calculate the weighted average EDF for each asset class based on its ... View the full answer