Financial Risk Manager Part 1
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Q-97. A loan portfolio has a value of SGD 120 million. The portfolio has a default rate of 2.5% and the recovery rate is 30%. The 1-year 99% VaR is estimated at SGD 9.6 million. What is the 1-year 99% unexpected loss (UL) for this portfolio?
Q-97. A loan portfolio has a value of SGD 120 million. The portfolio has a default rate of 2.5% and the recovery rate is 30%. The 1-year 99% VaR is estimated at SGD 9.6 million. What is the 1-year 99% unexpected loss (UL) for this portfolio?
Exam-Like
A
SGD 2.1 million
B
SGD 7.5 million
C
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