NO.PZ2020033002000004
问题如下:
A bank granted Client A a total credit facility of $500,000, of which 70% is currently outstanding. The client's probability of default for the following year is estimated to be 2%, the loss given default is 50%, and the standard deviation of loss given default is 30%. The undrawn portion at the time of default assumes a 50% withdrawal. What is the bank's best estimate of expected and unexpected losses (standard deviation) ?
选项:
A.EL = $3500, UL = $55,229
B.EL = $3500, UL = $28,649
C.EL = $4250, UL = $67,064
D.EL = $4250, UL = $34,788
解释:
D is correct.
考点:Risk Contribution
解析:
AE=70%x$500,000+50%*30%*$500,000=$425,000
EL=425,000*2%*50%=4250
UL的公式如下:
代入公式,有
UL=34,788
老师which 70% is currently outstanding. 这话表达的是70%已经提取了还是没有提取?outstanding意思是未完成的,那是没有提取?