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Basic Question 7 of 9
Consider a corporate bond. Per 100 of par value, its exposure is 105, and recovery is 60. The probability of default (POD) is 1%. What is the expected loss due to credit risk?
B. 0.45
C. 0.48
A. 0.40
B. 0.45
C. 0.48
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I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
explain expected exposure, the loss given default, the probability of default, and the credit valuation adjustment;
CFA® 2025 Level II Curriculum, Volume 4, Module 29.