RSK 4804

University Of South Carolina

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 RSK 4804 /RSK4804 Assignment 01 memo/Department of Finance, Risk Management and Banking
  • RSK 4804 /RSK4804 Assignment 01 memo/Department of Finance, Risk Management and Banking

  • Exam (elaborations) • 16 pages • 2024
  • Department of Finance, Risk Management and Banking
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RSK4804+FORMULAE (1)
  • RSK4804+FORMULAE (1)

  • Exam (elaborations) • 4 pages • 2024
  • RSK4804 FORMULAE 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 Altman Z-score Z =1.2 X1 + 1
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RSK4804+FORMULAE  (RSK4804) Assignment 01 Solutions
  • RSK4804+FORMULAE (RSK4804) Assignment 01 Solutions

  • Exam (elaborations) • 5 pages • 2024
  • Question 1 Explain Probability of default and briefly discuss its uses. (10) Suggested solution It is a statistical percentage probability of a borrower defaulting√ and it is directly linked to credit grades √ Uses • Quantification of credit risk √ PD facilitates distinguishing the credit risk of different asset classes in a portfolio and judging the credit worthiness of the obligor. √ • Allocation of capital√ if the probability of default is high capital allocation is als...
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RSK4804 Assignment 01 memo | Questions & Answers From The Real Exam |Rated A+
  • RSK4804 Assignment 01 memo | Questions & Answers From The Real Exam |Rated A+

  • Exam (elaborations) • 16 pages • 2024
  • 2 SUGGESTED ANSWERS TO ASSIGNMENTS Question 1 Distinguish between credit risk assessment and credit risk measurement. (10) Suggested Answer Credit risk assessment Is a credit management process that seeks to identify and control risks by determining the borrower’s probability of repaying the debt√. Through credit analysis, an assessment is made of the borrower’s income, balance sheet, and cash flow statements, along with character, capacity, and capital adequacy, all of which are ...
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