medium · Private Credit & Debt underwriting-credit-analysis
An analyst is evaluating a senior secured loan with a face value of $100M. The annual probability of default (PD) is estimated at 3%, and the loss given default (LGD) is 35%.
If the cumulative probability of default over a 5-year investment horizon is 8%, what is the difference between the 1-year and 5-year expected loss (EL)?
- $1.40M
- $2.10M
- $0.50M
- $1.75M
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