Financial Risk Manager Part 1
Get started today
Ultimate access to all questions.
Comments
Loading comments...
Ultimate access to all questions.
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.