A portfolio consists of one (long) $100 million asset and a default protection contract on this asset. The probability of default over the next year is 10% for the asset and 20%for the counter party that wrote the default protection. The joint probability of default for the asset and the contract counter party is 3%. Estimate the expected loss on this portfolio due to credit defaults over the next year with a 40% recovery rate on the asset and 0% recovery rate for the counter party.()

A.2.5%

B.4.2%

C.8.8%

D.11.0%

A.23%

B.20%

C.30%

D.25%

A.£18 million

B.£22 million

C.£30 million

D.None of the above

A.29 percent

B.34 percent

C.37 percent

D.41 percent

A.11．8 percent

B.14．7 percent

C.18．2 percent

D.22．5 percent

A.$1,672,000

B.$1,842,000

C.$2,010,000

D.$2,218,000

A．11．8 percent

B．14．7 percent

C．18．2 percent

D．22．5 percent

A、A zero covariance implies there is no linear relationship between the returns on two assets.

B、If two assets have perfect negative correlation,the variance of returns for a portfolio that consists of these two assets will equal zero.

C、The covariance of a 2-stock portfolio is equal to the correlation coefficient times the standard deviation of one stocks returns times the standard deviation of the other stocks returns.

A．29 percent

B．34 percent

C．37 percent

D．41 percent

假设你选择了3项资产组合(A．B．C)，其预期收益分别是0．08，0．09，0．10，他们的标准差分别是0．04，0．06，0．08，这项资产组合包括40％的A资产，40％的B资产，20％的C资产，A与B的相关系数为0．6，A与C的相关系数为0．4，B与C的相关系数为0．3。 a．该资产组合的预期收益及风险为多少？与仅持有资产C比较。 b．如果将A资产换为一种无风险、收益率为7％的资产，对资产组合的预期收益和风险的影响怎样？ c．如果将A资产换为一种预期收益率为11％。标准差为0．1，且与资产B和C无相关性的证券，对资产组合的预期收益及风险有何影响？在资产组合中，你倾向于持有该证券还是资产A？ Suppose you select a portfolio of three assets(A，B，C)in which the expected returns are 0．08，0．09，and 0．10，respectively；their standard deviations are 0．04，0．06，and 0．08；the portfolio consists of 40 percent of asset A，40 percent of asset B，and 20 percent of asset C；and the correlation coefficient between A and B is 0．6，between A and C is 0．4，and between B and C is 0．3． a．What is the expected retum and risk of the portfolio？How does this compare with a portfolio that consists only of asset C？ b．Suppose that you replace asset A with a risk-free asset having a 7 percent yield．How doesthis affect expected retum and risk？ C．Suppose，instead，that you replace asset A with a security having an expected return of 11percent，a standard deviation of 0．10，and no correlation with assets B and C．How does this affect the portfolio’s risk and expected retum？Would you rather have this or asset A in our portfolio？