Computing for 5th and 25th months assuming 100PSA and 150 PSA
I believe that the [email protected] 25 is wrong,
[email protected] =0,02*25=0,05
150 PSA -> 1,5*0,05=7,5
should it be capped @6%?
Smallville Savings Bank (SSB) has a loan portfolio totaling $20,000,000 in commitments. Currently 60% is outstanding. The bank has assessed an average internal credit rating equivalent to 2% default probability over the next year. Drawdown upon default is assumed to be 75%. The bank...
the power bought was 105K$. The annualized volatiliy of power price is 125%, Assuming power price follow a random walk,, what is the 1y 95% confidence interval VAR
It took me laods of time to figure out how to solve this, but once again the FRM reading was great!!!
pretty like it but so horrible...
A RM is asked to estimate raroc of his firm's 200m loan business which has an average IR=10%.All loans have the same Pd=3%, LGD=50% and retention rate =50% Expenses=10m, firm economic cap. of 20m earns 5% anually Whats RAROC should RM estimate;