Multiple Choice
Two firms that have zero default correlation and expected losses conditional on default of $2 million and $3 million, respectively. The probability of loss of the two firms in one year is 0.10 and 0.05, respectively. What is the mean loss of this portfolio?
A) $250,000
B) $350,000
C) $400,000
D) $500,000
Correct Answer:
Verified
Correct Answer:
Verified
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