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Vendor: AIWMI
Exam Code: CCRA
Exam Name: Certified Credit Research Analyst
Certification: CCRA
Total Questions: 84 Q&A
Updated on: Nov 16, 2024
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Scott is a credit analyst with one of the credit rating agencies in India. He was looking in Oil and Gas Industry companies and has presented brief financials for following 4 entities:
From the data given below, calculate the standard deviation of the credit portfolio assuming that facility's exposure is known with certainty, customer defaults and LGDs are independent of one another and LGDs are independent across borrower(s).
Credit Facility A ?Loss Equivalent Exposure of $60m, expected Default frequency of 1.5%, loss given default of 30%, Std Deviation of LGD ?5% and Correlation to portfolio ?0.10
Credit Facility B ?Loss Equivalent Exposure of $25m, expected Default frequency of 2%, loss given default of 12%, Std Deviation of LGD ?12% and Correlation to portfolio ?0.45
Credit Facility C ?Loss Equivalent Exposure of $15m, expected Default frequency of 5%, loss given default of 85%, Std Deviation of LGD ?18% and Correlation to portfolio ?0.22
A. US$6.88 million
B. US$ 1.16 million
C. US$ 1.66 million
D. US$ 0.10 million
In an industry there are only 20 firms and each of them has equal share. Compute Herfindahl Hirschman Index and state the level of concentration in the industry.
A. HHI = 500; High Concentration
B. HHI = 8000; low Concentration
C. HHI = 8000; High Concentration
D. HHI = 500; Low Concentration
For considering the assignment of probabilities, which of the following aspects are taken into account?
A. Economic cycle ?bearish phase or boom
B. All of the other options
C. The date of valuation of assets on the financials
D. The nature and age of assets
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