Exam (elaborations)
RSK 4804 RSK4804+FORMULAE (1) CORRECT DETAILED ANSWERS WITH RATIONALES.
- Course
- RSK 4804
- Institution
- California University Of Pennsylvania
Expected Loss EL = PD x EAD x LGD Portfolio return (assuming a portfolio with two assets) E(Rp) = W1(R1) + W2(R2) Portfolio standard deviation (assuming a portfolio with two assets) σp= √x2A σ2A + x2Bσ2 + 2xAxBCovA,B Covariance = ρ σ1 σ2 Correlation (ρ) = covariance1,2 / σ1 σ2 A...
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