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    Business
  3. Study Set
    Financial Institution Management
  4. Exam
    Exam 11: Credit Risk II: Loan Portfolio and Concentration Risk
  5. Question
    Using the KMV Portfolio Manager Model, the Risk on a Loan
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Using the KMV Portfolio Manager Model, the Risk on a Loan

Question 4

Question 4

True/False

Using the KMV Portfolio Manager Model, the risk on a loan can be calculated as the volatility of the loan's default rate times the loss in the event of default.

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