Present Value expected loss
Hello everyone, excuse me if this is not the right place for the question.
They ask me the following:
“Assuming the maturity of both issues is one year, the VA of the expected loss is:”
And I have the following data:
USGOV: Interest rate: 0.72%, exposure: 100, price: 99.29, recovery rate: 100%, probability of default: 0%.
USCREDIT: Interest rate: 1.21%, exposure: 100, price: 98.8, recovery rate: 35%, probability of default: ???
What is the present value of the expected loss? I’m going crazy.
Study together. Pass together.
Join the world's largest online community of CFA, CAIA and FRM candidates.