narayananvenkat
cfo
DAvid..
Assume a portfolio consists of two loans of $1000 with a correlation between loans of 0. Also assume the only twao outcome for each loan with equal probablity are a loan loss of $8 or $12. Note that average loss for each position is $ 10 and the expeceted loss on theportfolio is $ 20 . Find ULp, the unexpexted loss of the portfolio.
1. $0.71
2.$8.00
3.$2.83
4.10
venkat
Assume a portfolio consists of two loans of $1000 with a correlation between loans of 0. Also assume the only twao outcome for each loan with equal probablity are a loan loss of $8 or $12. Note that average loss for each position is $ 10 and the expeceted loss on theportfolio is $ 20 . Find ULp, the unexpexted loss of the portfolio.
1. $0.71
2.$8.00
3.$2.83
4.10
venkat
