题目内容（请给出正确答案）

[单选题]

A portfolio consists of one (long) $100 million asset and a default protection contract on this asset. The probability of default over the next year is 10% for the asset and 20%for the counter party that wrote the default protection. The joint probability of default for the asset and the contract counter party is 3%. Estimate the expected loss on this portfolio due to credit defaults over the next year with a 40% recovery rate on the asset and 0% recovery rate for the counter party.()

A.$3.0 million

B.$2.2 million

C.$1.8 million

D.None of the above

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更多“A portfolio consists of one (l…”相关的问题

第1题

Consider a portfolio that consists of an equal investment in 20 firms. For each of these firms, there is a 70% probability that the firms will have a 16% return and a 30% that they will have a – 8% re

A.2.5%

B.4.2%

C.8.8%

D.11.0%

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第2题

A portfolio consists of three stocks （A, B, and C）, which have a 30%,20%,50% weighting, and the three stocks with an expected return of 20%, 10%, and 30% respectively. The expected returns of the port

A.23%

B.20%

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D.25%

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第3题

A portfolio consists of two (long) assets £100 million each. The probability of default over the next year is 10% for the first asset, 20% for the second asset, and the joint probability of default is 3%. Estimate the expected loss on this portfolio due to credit defaults over the next year, assuming 40% recovery rate for both assets.()

A.£18 million

B.£22 million

C.£30 million

D.None of the above

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第4题

You own a portfolio which consists of 100 shares of stock A, 300 sharesof stock B, and 250 shares of stock C.The market price of stock A is $34. The price of stock B is $18 and the priceof stock C is

A.29 percent

B.34 percent

C.37 percent

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第5题

You own a portfolio which consists of 150 shares of stock A, 100 sharesof stock B and 300 shares of stock C.The market price of stock A is $34. The price of stock B is $18 and the priceof stock C is $

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B.14．7 percent

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第6题

An investor holds a portfolio of $100 million. This portfolio consists of A rated bonds ($40 million) and BBBrated bonds ($60 million). Assume that the one year probabilities of default for Arated and BBBrated bonds are 3% and 5%, respectively, and that they are independent. If the recovery value for Arated bonds in the event of default is 70% and the recovery value for BBB rated bonds is 45%, what is the one year expected credit loss from this portfolio?()

A.$1,672,000

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第7题

You own a portfolio which consists of 150 shares of stock A, 100 sharesof stock B and 300

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A．11．8 percent

B．14．7 percent

C．18．2 percent

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第8题

Which of the following statements about covariance and correlation is least accurate？

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第9题

You own a portfolio which consists of 100 shares of stock A, 300 sharesof stock B, and 250

shares of stock C.The market price of stock A is $34. The price of stock B is $18 and the priceof stock C is $28. What is the portfolioweight of stock B？

A．29 percent

B．34 percent

C．37 percent

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第10题

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