If the JDP between two borrowers A and B is lower than the product of their respective

Question:

If the JDP between two borrowers A and B is lower than the product of their respective individual default probabilities, the default correlation between them would be

a) Zero

b) Negative

c) Positive

d) Infinity image text in transcribed

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Related Book For book-img-for-question

Basic Statistics For Risk Management In Banks And Financial Institutions

ISBN: 9780192849014

1st Edition

Authors: Arindam Bandyopadhyay

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Question Posted: Jun 04, 2024 01:08 AM

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If the JDP between two borrowers A and B is lower than the product of their respective

Question:

Table 6.7 Portfolio Risk and Return Loan Exposure Annual Spread Annual LGD. PD Share between Loan Fees Default Correlation Rate & FI's cost of funds Term 60% 5% 2% 25% 3% -0.25 loan 1 Term 40% 4% 1.5% 20% 2% loan 2 Total 100%

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Basic Statistics For Risk Management In Banks And Financial Institutions

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