XYZ bank has two assets outstanding. summarized below. Assuming a correlation of 0.45 between the assets,...

 

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XYZ bank has two assets outstanding. summarized below. Assuming a correlation of 0.45 between the assets, compute ELp, ULp. RCA RCB Asset A Asset B commitments(COM) 20,000,000 14,000.000 Outstandings (OS) 13,000,000 10,000,000 Usage Given Default (UGD) 55% 70% EDF 1.5% 4% LGD 60% 70% GEDF 3.5% 6.75% 15% 15% OLGD XYZ bank has two assets outstanding. summarized below. Assuming a correlation of 0.45 between the assets, compute ELp, ULp. RCA RCB Asset A Asset B commitments(COM) 20,000,000 14,000.000 Outstandings (OS) 13,000,000 10,000,000 Usage Given Default (UGD) 55% 70% EDF 1.5% 4% LGD 60% 70% GEDF 3.5% 6.75% 15% 15% OLGD

Answer rating: 100% (QA)

A 1 Asset A Asset B 2 Corelation 045 3 COM 20000000 14000000 4 os 13000000 10000000 5 ... View the full answer