medium · FRM Part 1 Valuation and Risk Models
A bank’s $500 million loan portfolio has a probability of default of 2.5%, a recovery rate of 40%, and an exposure-at-default factor of 95% of committed amounts. Calculate the expected loss in dollars.
- $6.840 million
- $7.125 million
- $12.500 million
- $4.750 million
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