ThetaBank has extended substantial financing to two mortgage companies, which these mortgage lenders use to finance their own lending. Individually, each of the mortgage companies have an exposure at default (EAD) of $20 million, with a loss given default (LGD) of 100%, and a probability of default of 10%. ThetaBank's risk department predicts the joint probability of default at 5%. If the default risk of these mortgage companies were modeled as independent risks, the actual probability would be underestimated by:
Answer(s): D
For which one of the following four reasons do corporate customers use foreign exchange derivatives?I) To lock in the current value of foreign-denominated receivablesII) To lock in the current value of foreign-denominated payablesIII) To lock in the value of expected future foreign-denominated receivablesIV) To lock in the value of expected future foreign-denominated payables
Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan is collateralized with $55,000. The loan also has an annual expected default rate of 2%, and loss given default at 50%. In this case, what will the bank's exposure at default (EAD) be?
Answer(s): B
When looking at the distribution of portfolio credit losses, the shape of the loss distribution is ___ , as the likelihood of total losses, the sum of expected and unexpected credit losses, is ___ than the likelihood of no credit losses.
Which one of the following four statements correctly defines chooser options?
Answer(s): A
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