Question
Assume that the discount rate is exactly 0 (and the following monetary values are in $million). Picking a time horizon, T, you are told that
Assume that the discount rate is exactly 0 (and the following monetary values are in $million). Picking a time horizon, T, you are told that (as calculated at time zero), for a particular portfolio, the EPE is 3 and the ENE is 9 (both corresponding to T). Is this enough to deduce the expected exposure / valuation (again measured at time 0) of that portfolio, corresponding to time horizon T? If so, what is it?
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A credit risk analysis problem Given the EPE Expected Po...
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Contemporary Financial Intermediation
Authors: Stuart I. Greenbaum, Anjan V. Thakor, Arnoud Boot
4th Edition
0124052088, 978-0124052086
