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上小学 · 2023年04月05日

请问此题解题思路是什么?给出的第三个第四个符号是什么意思?如何使用谢谢

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:

A.

Less than $140,000

B.

Between $150,000 and $160,000

C.

Between $140,000 and $150,000

D.

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 × σPD 20.5

ULA =$4000000× (0.015× 0.102 + 0.62 × 0.0320.5=$87086.16

ULB =$3000000× (0.03× 0.152 + 0.502 × 0.0420.5=$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

2 个答案

李坏_品职助教 · 2023年04月06日

嗨,从没放弃的小努力你好:


LR和LGD是一样的,只是英文描述不同。

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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!

李坏_品职助教 · 2023年04月05日

嗨,从没放弃的小努力你好:


题目给出两个资产A和B各自的违约概率PD和损失率LR的数据,以及PD和LR的标准差数据。让我们求A和B组合起来之后的非预期损失。也就是求出A和B组合起来的UL(unexpected loss).

根据这里的第二个公式,UL = 风险敞口EA * 根号下(PD * LR的方差 + LR^2 * PD的方差) 。这里要先根据A和B的数据,分别算出A和B各自的UL,

UL_A = A的exposure 400万 * 根号下(0.015× 0.10^2 + 0.6^2 × 0.03^2)。

再求出UL_B。

然后把UL_A和UL_B组合起来,就像是求两只股票组合后的标准差一样,UL = 根号下(UL_A的平方 + UL_B的平方 + 2 * 相关系数 * UL_A*UL_B).

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加油吧,让我们一起遇见更好的自己!

上小学 · 2023年04月06日

您好,请问损失率不是LGD吗?LR是LOSS RATE是吗?

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