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Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loan Rate and FI's Cost of Funds Loan X 0.60 0.40
Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loan Rate and FI's Cost of Funds Loan X 0.60 0.40 1 2 5.0% 4.5 Annual Fees 2.0% 1.5 Loss to FI Given Default 25% 20 Expected Default Frequency 3% 2 P12= -0.25 (1) Calculate the return on the two-asset portfolio using Moody's Analytics Portfolio Manager (Rp). Note: You need to estimate the return and risk of loan 1 and loan 2. i.e, estimate (R, 01) and (R, 0) first, and then estimate portfolio return and portfolio risk. Please do not round any intermediate work. Convert your answer to percentage format. Enter your answer rounded to 2 decimals, and without any units. So, for example, if your answer is 3.4567%, then just enter 3.46. Assume the same information as in the previous question . (2) Calculate the risk on the two-asset portfolio using Moody's Analytics Portfolio Manager (op). Please do not round any intermediate work. Convert your answer to percentage format. Enter your answer rounded to 2 decimals, and without any units. So, for example, if your answer is 3.4567%, then just enter 3.46. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loan Rate and FI's Cost of Funds Loan X 0.60 0.40 1 2 5.0% 4.5 Annual Fees 2.0% 1.5 Loss to FI Given Default 25% 20 Expected Default Frequency 3% 2 P12= -0.25 (1) Calculate the return on the two-asset portfolio using Moody's Analytics Portfolio Manager (Rp). Note: You need to estimate the return and risk of loan 1 and loan 2. i.e, estimate (R, 01) and (R, 0) first, and then estimate portfolio return and portfolio risk. Please do not round any intermediate work. Convert your answer to percentage format. Enter your answer rounded to 2 decimals, and without any units. So, for example, if your answer is 3.4567%, then just enter 3.46. Assume the same information as in the previous question . (2) Calculate the risk on the two-asset portfolio using Moody's Analytics Portfolio Manager (op). Please do not round any intermediate work. Convert your answer to percentage format. Enter your answer rounded to 2 decimals, and without any units. So, for example, if your answer is 3.4567%, then just enter 3.46
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