A Bank Has Three Uncollateralized Transactions with a Counterparty Worth

question 10

Multiple Choice

A bank has three uncollateralized transactions with a counterparty worth +$10 million,−$20 million and +$25 million.A netting agreement is in place.What is the maximum loss if the counterparty defaults today.

• A) $15 million
• B) $35 million
• C) $20 million
• D) Zero

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Definitions:

Scores

Quantitative measurements or evaluations used to reflect the performance, ability, or other attributes of an individual or entity.

Standard Deviation

A measure that quantifies the variation or dispersion of a set of data points around their mean, indicating how spread out the data points are.

Sample Size

The number of individual observations or data points used in a statistical sample.

Variance

A measure of the dispersion or spread of a set of data points, indicating how far each data point in the set is from the mean.