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NO.PZ2019070101000070

问题如下：

The bank has two outstanding assets. The characteristics of the loan are shown in the following table. Given that the correlation between assets is 0.3, what is the unexpected loss of the portfolio?

选项：

Less than $140,000

Between $150,000 and $160,000

Between $140,000 and $150,000

More than $160,000

解释：

C is correct.

考点：The expression of unexpected loss

解析：计算过程如下所示：

UL=EA×（PD× σ_LR ² +LR² × σ_PD ²）^0.5

UL_A =$4000000× （0.015× 0.10² + 0.6² × 0.03² ）^0.5=$87086.16

UL_B =$3000000× （0.03× 0.15² + 0.50² × 0.04² ）^0.5=$98361.58

UL_P =[ (87086.16) ² + (98361.58) ² +(2)(0.3)(87086.16)(98361.58)]^0.5

=$149661.48

UL=EA×（PD× σ LR 2 +LR2 × σPD 2）0.5 这个公式怎么推出来的？在讲义哪里呀？

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Miracle_ · 2022年11月02日

找到了

1 个答案

韩韩_品职助教 · 2022年11月06日

嗨，爱思考的PZer你好：

好的同学，如有问题，请随时提问~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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