Ii) Value-at-Risk, VaR, is the minimum loss at a given confidence level over a given period of time I) Value-at-Risk, VaR, is a not measure of downside risk Which of the following, if any, are true? Increasing the recovery rate + Decreasing the default probability will result in a decrease in the expected loss. Lowering the recovery rate + Lowering the default probability = an increase expected loss Increasing the recovery rate + Increasing the default probability = an increase expected loss Lowering the recovery rate + Increasing the default probability = an increase expected loss Iii) Lowering the recovery rate + Lowering the default probability = an increase expected lossĪll three will result in an increase in expected loss! Ii) Increasing the recovery rate + Increasing the default probability = an increase expected loss I) Lowering the recovery rate + Increasing the default probability = an increase expected loss
Of the following statements, select the one(s) that is (are) most likely true with regards to a loan portfolio:
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