LeetQuiz Logo
Privacy Policy•contact@leetquiz.com
© 2025 LeetQuiz All rights reserved.
Financial Risk Manager Part 2

Financial Risk Manager Part 2

Get started today

Ultimate access to all questions.


To determine the implied default correlation for a credit portfolio over the next year, consider the following scenario: A risk analyst has assessed a portfolio consisting of two credit assets, one rated BBB and the other rated BB. The individual default probabilities for these assets are 3.5% and 4.2% respectively. Additionally, the joint probability of default for these two assets is 1.0%. What is the implied default correlation between the two credit assets?

Exam-Like



Powered ByGPT-5