A portfolio manager plans to add a new position of USD 100,000 to current portfolio of USD 10 million.
Which ofthe following statements would be considered a drawback of Basel III?
Which ofthe following statements about credit risk models is correct?
Assume that a hedge fund provides a large positive alpha. The fund can takeleveraged long and short positions in stocks.
An analyst has gathered the following information about ABC Inc. a.'1d DEF Inc.The respective credit ratings are AA and BBB with l-year CDS spreads of200 and 300 basis points each.
The capital conservation buffer:
The marginal probability of default for years one and two is 0.5% and1.1 %,respectively.
With regard to the factors that determine recovery rates of traded bonds, which of the following statements is false?
The price value of a basis point (PVBP) of a bond portfolio is $45,000. Expected changes in interest rates over the next year are summarized below:
Which of the common methods of computing value at risk relies on the assumption of normality?