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Use the data in Table 2 was obtained from a portfolio containing 10 loans of equal exposure. Table 2: A portfolio containing 10 loans of
Use the data in Table 2 was obtained from a portfolio containing 10 loans of equal exposure. Table 2: A portfolio containing 10 loans of equal exposure
Loan# 1 2 3 4 5 6 7 8 9 10
Exposure TSH 10 10 10 10 10 10 10 10 10 10
Default 0 0 0 1 0 1 0 0 1 0
Loss TSH 0 0 0 1 0 2 0 0 3 0
Using the data in Table 2, calculate the following:
(a) The individual loan loss given default (LGD) where applicable
(b) Portfolio loss rate
(c) Portfolio default rate
(d) Portfolio loss given default rate
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