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Bank X has two equal-sized and maturity loans of $5,000,000 each. The drawdowns on both loans are 65% and expected drawdown given default is also 65%. Both loans fall in the same risk class with a 1% probability of default and 75% loss given default. The remainder of the relevant loan information is summarized below:
Unexpected loss for the portfolio is closest to: A. $200,000. B. $272,000. C. $127,000. D. $240,000. |