NO.PZ2019070101000097
问题如下:
A loan has a total commitment of $10 million, the amount that currently outstanding is $8.5 million, the default probability over the next year is 1%, and the recover rate is 40%. The expected loss for the loan is close to?
选项:
A.
$51,000.
B.
$55,000
C.
$55,250.
D.
$48,000
解释:
A is correct
考点:Expected Loss
解析:
EL = exposure amount x probability of default x loss rate
EL = $8.5 million x 0.01 x(1- 0.4)= $51,000
老师,想问一下这个题,只要题目不给α的值,就不需要算adjusted exposure,而直接用outstanding exposure吗