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Which of the following statements about the CreditMetrics model would the manager be correct to make?
A
The CreditMetrics model uses the outcomes of many simulation trials to generate a distribution of credit losses on the loan.
B
If a sample from a uniform distribution produces a critical value corresponding to the 90 percentile point of the distribution, the loan will be considered to have a rating of B at the end of the year.
C
The annual credit loss on the loan is calculated as the expected loss on the loan given the default probability provided in the table.
D
CreditMetrics is the model recommended by the Basel Committee for use in determining regulatory capital.
