Financial Risk Manager Part 2
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The following table illustrates how a financial institution might reconsider its stress test of current exposure in an expected-loss framework:
| Counterparty | PD | Stressed PD | Average EPE (millions) | LGD |
|---|---|---|---|---|
| Counterparty AA | 0.05% | 0.50% | $213.00 | 70% |
| Counterparty BB | 0.03% | 0.30% | $202.50 | 60% |
| Counterparty CC | 0.45% | 0.62% | $75.00 | 70% |
| Counterparty DD | 1.00% | 1.60% | $300.00 | 65% |
What should be the Stress Loss value for Counterparty DD?