Under the option view of the firm which of the

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Under the option view of the firm, which of the following is TRUE?A)The firm will default on its obligations if the value of the firm exceeds the value of thedebt.B)The firm will default on its obligations if the value of the firm is less than the value ofthe debt.C)The firm will default on its obligations if the value of its equity exceeds the value ofthe debt.D)The firm will default on its obligations if the value of its equity is less than the valueof the debt.2Which of the following formulas for unexpected loss is CORRECT?A).B).C).D).3Unexpected loss will increase under which of the following circumstances?A) Expected default frequency decreases.B) Variance of default frequencies increases.C) Usage given default decreases.D) Adjusted exposure increases but default frequency decreases.4Which of the following statements about loan returns is (are) TRUE?I.Unexpected loss on the loan can result from default.II.Unexpected loss on the loan can result from credit migration.III.Loan returns increase as recovery rates decrease.A) I only.B) II and III only.
学服:02151210543咨询:4006008011邮箱:[email protected]网站:|高顿财经全球财经证书培训领导品牌C) I and II only.D) I, II, and III.5Unexpected loss is best characterized as:A) variance of expected loss.B) standard deviation of expected loss.C) variance of unanticipated loss.D) standard deviation of unanticipated loss.6Smallville Savings Bank (SSB) has a loan portfolio totaling $20,000,000 in commitments. Currently 60% isoutstanding. The bank has assessed an average internal credit rating equivalent to 2% default probability over thenext year. Drawdown upon default is assumed to be 75%. The bank has additionally estimated a LGD of 60%.The standard deviation of EDF and LGD is 5% and 25%, respectively. The ratio of unexpected loss to expectedloss isclosestto:A) 4.0.B) 2.0.C) 0.50.D) 0.25.7Which of the following statements about unexpected loss is TRUE?A) Unexpected loss is a linear function of loss given default.B) Unexpected loss is a non-linear function of loss given default.C) Loss given default is a non-linear function of unexpected loss.D) Loss given default is a linear function of unexpected loss.8John Clayburn is trying to parameterize a credit risk model for his employer, Syacmoor Bank. Based on a largesample of loans, he has estimated a default frequency of 12%. John knows that this is a necessary input tocalculate the unexpected loss. Which of the following isclosestto the standard deviation of Sycamoor’s default

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Term
Winter
Professor
lintao
Tags
Capital Asset Pricing Model, Test, The Land, CML, Modern portfolio theory, Risk in finance

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