Q15) Suppose that an FI holds two loans with the following characteristics. Loan Xi Annual...
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Q15) Suppose that an FI holds two loans with the following characteristics. Loan Xi Annual Spread Annual Loss to FI Expected between loan rate Frees Given Default and FI's Cost of Default Frequency Funds 1 ? 4.0% 2.50% 3.5% pi=-0.10 2 ? 2.5 2.15 ? 2.0 7% The return on loan 1 is R, = 6.25%, the risk on loan 2 is 02 1.8233% and the return of the portfolio is R, 4.555%. Calculate of the loss give default on loans 1 and 2, the proportions of loans 1 and 2 in the portfolio, and the risk of the portfolio, Op, using Moody's Analytics Portfolio Manager. Q15) Suppose that an FI holds two loans with the following characteristics. Loan Xi Annual Spread Annual Loss to FI Expected between loan rate Frees Given Default and FI's Cost of Default Frequency Funds 1 ? 4.0% 2.50% 3.5% pi=-0.10 2 ? 2.5 2.15 ? 2.0 7% The return on loan 1 is R, = 6.25%, the risk on loan 2 is 02 1.8233% and the return of the portfolio is R, 4.555%. Calculate of the loss give default on loans 1 and 2, the proportions of loans 1 and 2 in the portfolio, and the risk of the portfolio, Op, using Moody's Analytics Portfolio Manager
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