1

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？

添加评论

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~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
251
浏览

我要回答关注问题

相关问题

NO.PZ2019070101000070问题如下The bank htwo outstanng assets. The characteristiof the loare shown in the following table. Given ththe correlation between assets is 0.3, whis the unexpecteloss of the portfolio?A.Less th$140,000B.Between $150,000 an$160,000C.Between $140,000 an$150,000More th$160,000C is correct.考点The expression of unexpecteloss解析计算过程如下所示 UL=EA×（P σ LR 2 +LR2 × σP2）0.5ULA =$4000000× （0.015× 0.102 + 0.62 × 0.032 ）0.5=$87086.16 ULB =$3000000× （0.03× 0.152 + 0.502 × 0.042 ）0.5=$98361.58 ULP =[ (87086.16) 2 + (98361.58) 2 +(2)(0.3)(87086.16)(98361.58)]0.5=$149661.48 老师好，能否计算ULa和ULb时，先不各自乘以400万和300万的EA计算出portfolio的ULp直接乘以700万？

2024-07-30 14:11 5 · 回答

NO.PZ2019070101000070问题如下 The bank htwo outstanng assets. The characteristiof the loare shown in the following table. Given ththe correlation between assets is 0.3, whis the unexpecteloss of the portfolio?A.Less th$140,000B.Between $150,000 an$160,000C.Between $140,000 an$150,000More th$160,000C is correct.考点The expression of unexpecteloss解析计算过程如下所示 UL=EA×（P σ LR 2 +LR2 × σP2）0.5ULA =$4000000× （0.015× 0.102 + 0.62 × 0.032 ）0.5=$87086.16 ULB =$3000000× （0.03× 0.152 + 0.502 × 0.042 ）0.5=$98361.58 ULP =[ (87086.16) 2 + (98361.58) 2 +(2)(0.3)(87086.16)(98361.58)]0.5=$149661.48 这题是哪一个考点，里面的计算公式是为什么

2023-05-09 14:12 1 · 回答

NO.PZ2019070101000070 问题如下 The bank htwo outstanng assets. The characteristiof the loare shown in the following table. Given ththe correlation between assets is 0.3, whis the unexpecteloss of the portfolio? A.Less th$140,000 B.Between $150,000 an$160,000 C.Between $140,000 an$150,000 More th$160,000 C is correct.考点The expression of unexpecteloss解析计算过程如下所示 UL=EA×（P σ LR 2 +LR2 × σP2）0.5ULA =$4000000× （0.015× 0.102 + 0.62 × 0.032 ）0.5=$87086.16 ULB =$3000000× （0.03× 0.152 + 0.502 × 0.042 ）0.5=$98361.58 ULP =[ (87086.16) 2 + (98361.58) 2 +(2)(0.3)(87086.16)(98361.58)]0.5=$149661.48 请问此题解题思路是什么？可否请讲解下步骤，谢谢

2023-04-05 12:47 2 · 回答

借这道题请老师帮忙总结下，一级四门学科里面，对于计算portfolio的XX，什么情况下需要带weight,什么情况不需要带。麻烦老师给一下大致的规律和原理，这个一直记不住，谢谢

2020-03-20 12:08 1 · 回答

1

1 个答案

1

0

251

相关问题