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lion · 2023年05月09日

求解释。

  1. FRM I
  2. Valuation And Risk Models

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 2）0.5

ULA =$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

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1 个答案

品职答疑小助手雍 · 2023年05月09日

同学你好，考点和公式见基础班讲义466页。

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