Rsk4804formulae 1 Study guides, Class notes & Summaries
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RSK 4804 RSK4804+FORMULAE (1) CORRECT DETAILED ANSWERS WITH RATIONALES.
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Expected Loss EL = PD x EAD x LGD Portfolio return (assuming a portfolio with two assets) E(Rp) = W1(R1) + W2(R2) Portfolio standard deviation (assuming a portfolio with two assets) σp= √x2A σ2A + x2Bσ2 + 2xAxBCovA,B Covariance = ρ σ1 σ2 Correlation (ρ) = covariance1,2 / σ1 σ2 Altman Z-score Z =1.2 X1 + 1.4 X2 + 3.3 X3 + 0.6 X4 + 0.1 X5 Financial Ratios Key Ratios Profitability Gross margin = gross profit net sales × 100
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RSK4804+FORMULAE (1)
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RSK4804 FORMULAE Expected Loss EL = PD x EAD x LGD Portfolio return (assuming a portfolio with two assets) E(Rp) = W1(R1) + W2(R2) Portfolio standard deviation (assuming a portfolio with two assets) σp= √x2A σ2A + x2Bσ2 + 2xAxBCovA,B Covariance = ρ σ1 σ2 Correlation (ρ) = covariance1,2 / σ1 σ2 Altman Z-score Z =1.2 X1 + 1
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RSK 4804 RSK4804+FORMULAE (1) Comprehensive Questions and Answers 100% Accuracy (Latest 2024).
- Other • 4 pages • 2024
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RSK4804 FORMULAE Expected Loss EL = PD x EAD x LGD Portfolio return (assuming a portfolio with two assets) E(Rp) = W1(R1) + W2(R2) Portfolio standard deviation (assuming a portfolio with two assets) σp= √x2A σ2A + x2Bσ2 + 2xAxBCovA,B Covariance = ρ σ1 σ2 Correlation (ρ) = covariance1,2 / σ1 σ2 Altman Z-score Z =1.2 X1 + 1.4 X2 + 3.3 X3 + 0.6 X4 + 0.1 X5 Financial Ratios Key Ratios Profitability Gross margin = gross profit net sales × 100
