A Bank has the following Credit Portfolio Loan Expected Portfolio Volatility Amount Return Credit A $1.0 10.0% 1.0% Credit B $1.5 12.0% 2.0% Credit C $3.0 14.0% 3.0% Credit D $0.5 16.0% 4.0% Credit E $0.2 18.0% 5.0% Credit F $2.0 20.0% 6.0% What is the risk in decimals on the bank's loan portfolio if loan returns are correlated as follows? (Round to two decimals) Credit A Credit B Credit C Credit D Credit E Credit F Credit A 0.4 -0.5 0.2 -0.3 -0.8 Credit B 0.7 0.6 0.5 0.4 Credit C -0.1 -0.8 -0.9 Credit D 0.2 0.4 Credit E -0.2 Credit F
A Bank has the following Credit Portfolio Loan Expected Portfolio Volatility Amount Return Credit A $1.0 10.0% 1.0% Credit B $1.5 12.0% 2.0% Credit C $3.0 14.0% 3.0% Credit D $0.5 16.0% 4.0% Credit E $0.2 18.0% 5.0% Credit F $2.0 20.0% 6.0% What is the risk in decimals on the bank's loan portfolio if loan returns are correlated as follows? (Round to two decimals) Credit A Credit B Credit C Credit D Credit E Credit F Credit A 0.4 -0.5 0.2 -0.3 -0.8 Credit B 0.7 0.6 0.5 0.4 Credit C -0.1 -0.8 -0.9 Credit D 0.2 0.4 Credit E -0.2 Credit F
Intermediate Accounting: Reporting And Analysis
3rd Edition
ISBN:9781337788281
Author:James M. Wahlen, Jefferson P. Jones, Donald Pagach
Publisher:James M. Wahlen, Jefferson P. Jones, Donald Pagach
Chapter6: Cash And Receivables
Section: Chapter Questions
Problem 13GI
Related questions
Question
![A Bank has the following Credit Portfolio
Loan
Expected
Portfolio
Volatility
Amount
Return
Credit A
$1.0
10.0%
1.0%
Credit B
$1.5
12.0%
2.0%
Credit C
$3.0
14.0%
3.0%
Credit D
$0.5
16.0%
4.0%
Credit E
$0.2
18.0%
5.0%
Credit F
$2.0
20.0%
6.0%
What is the risk in decimals on the bank's loan portfolio if loan
returns are correlated as follows? (Round to two decimals)
Credit A Credit B Credit C Credit D Credit E Credit F
Credit A
0.4
-0.5
0.2
-0.3
-0.8
Credit B
0.7
0.6
0.5
0.4
Credit C
-0.1
-0.8
-0.9
Credit D
0.2
0.4
Credit E
-0.2
Credit F](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F7709141c-50cd-420f-850c-9a05f9f31f1a%2Feb271a9b-081a-4090-b060-00ed039edaec%2F3h5u3xq_processed.jpeg&w=3840&q=75)
Transcribed Image Text:A Bank has the following Credit Portfolio
Loan
Expected
Portfolio
Volatility
Amount
Return
Credit A
$1.0
10.0%
1.0%
Credit B
$1.5
12.0%
2.0%
Credit C
$3.0
14.0%
3.0%
Credit D
$0.5
16.0%
4.0%
Credit E
$0.2
18.0%
5.0%
Credit F
$2.0
20.0%
6.0%
What is the risk in decimals on the bank's loan portfolio if loan
returns are correlated as follows? (Round to two decimals)
Credit A Credit B Credit C Credit D Credit E Credit F
Credit A
0.4
-0.5
0.2
-0.3
-0.8
Credit B
0.7
0.6
0.5
0.4
Credit C
-0.1
-0.8
-0.9
Credit D
0.2
0.4
Credit E
-0.2
Credit F
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