NO.PZ2020033003000103
问题如下：
Jane is a credit analyst. She is asked to calculate the expected credit loss of a small portfolio. There are two bonds，Bond A and Bond B in this portfolio. Jane collects several data about the two bonds.
The probability of joint default of the two bonds is 2%, and the correlation between the two bonds is 0.4.
Based on the above information, the expected credit loss is ?
选项：
A.$28,000.
B.$16,000.
C.$12,000.
D.$42,400.
解释：
A is correct.
考点：Credit VaR-Introduction
解析：组合的EL对于两个分别的EL相加
EL（A） = $1,000,000 x 0.04 x 0.30 = $12,000
EL（B） = $800,000 x 0.05 x 0.40 = $16,000
12000+16000=28000
如果这道题问的是UL的话，是仍然按照算出WCL再减去EL的方式算吗？还是这里要把这两个看作是一个portfolio用correlation去计算UL呢？
