Multiple Choice
Which of the following is true of Creditmetrics when it is used to calculate credit VaR
A) Creditmetrics takes defaults but not downgrades into account
B) Creditmetrics takes downgrades but not defaults into account
C) Creditmetrics considers neither defaults nor downgrades
D) Creditmetrics considers both defaults and downgrades
Correct Answer:
Verified
Correct Answer:
Verified
Q8: Which of the following is true<br>A) The
Q9: Which of the following is true<br>A) Downgrade
Q10: In the Gaussian copula model which of
Q11: Which of the following is true<br>A) A
Q12: Which of the following is true<br>A) Netting
Q14: Which of the following is true<br>A) The
Q15: Which of the following is true?<br>A) Risk
Q16: Which of the following is usually used
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