CreditRiskCalculation - -30 7.60%-45 17.10%-55 0.40%-70...

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Loss Probability Prob. Wtd. Loss Prob. Wtd. Sqrd Dev. No Default of A 0 95% 0 1.48 Default of A 25 5% 1.25 28.20 Total 100% 1.25 29.69 Volatility of A 5.45 No Default of B 0 90% 0 1.41 Default of B 30 10% 3 82.66 Total 100% 3 84.06 Volatility of B 9.17 No Default of C 0 80% 0 1.25 Default of C 45 20% 9 382.81 Total 100% 9 384.06 Volatility of C 19.60 Loss Probability Cum. Prob. Prob. Wtd. Loss Prob. Wtd. Sqrd Dev. No Default 0 68.4% 68.4% 0.00 120.08 Default of A only 25 3.6% 72.0% 0.90 4.97 Default of B only 30 7.6% 79.6% 2.28 21.32 Default of C only 45 17.1% 96.7% 7.70 172.38 55 0.4% 97.1% 0.22 6.97 70 0.9% 98.0% 0.63 28.99 75 1.9% 99.9% 1.43 72.45 100 0.1% 100.0% 0.10 7.53 Total 100.0% 13.25 434.69 Portfolio Loss Volatility 20.85 Loss Probability 0 68.40% -25 3.60%
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Unformatted text preview: -30 7.60%-45 17.10%-55 0.40%-70 0.90%-75 1.90%-100 0.10%-25-30-45-55-70 0% 10% 20% 30% 40% 50% 60% 70% 80% Credit Loss Distribution-75-100 Sovereign Foreign Currency Average One-Year Transition Rates 1975-2007* Rating one year later (%) # of counts AAA AA A BBB BB B CCC/CC SD AAA 394 97.97 2.03 AA 228 3.51 94.3 1.32 0.44 0.44 A 213 4.23 93.43 2.35 BBB 187 8.56 87.7 2.67 1.07 BB 224 6.25 87.05 4.46 1.34 0.89 B 179 10.06 84.92 3.35 1.68 CCC/CC 18 22.22 38.89 38.89 *Source: Standard & Poor's Sovereign Ratings Rating as of January 1...
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This note was uploaded on 04/07/2008 for the course BA 4825 taught by Professor Danısoglu during the Spring '08 term at Middle East Technical University.

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CreditRiskCalculation - -30 7.60%-45 17.10%-55 0.40%-70...

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