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罗小惠🌟 · 2023年09月08日

为什么联合违约概率并不影响ECL的计算呀?

NO.PZ2020033002000009

问题如下:

A European bank mades a loan of EUR 3 million to company A and EUR 5 million to company B. After evaluation, the bank conclude the default probability over one year for company A and B are 10% and 5% respectively. The loss given default are 50% and 20% for A and B respectively. The joint default between A and B is 2%. What is the best estimate of the expected loss of default in one year for the bank?

选项:

A.

EUR 0.05 million

B.

EUR 0.15 million

C.

EUR 0.20 million

D.

EUR 0.24 million

解释:

C is correct.

考点:Credit VaR

解析:联合违约概率并不影响ECL的计算。

ECL=3*10%*50%+5*5%*20%=0.15+0.05=0.2 million

请问讲义中有具体的知识点或者例题讲这一点么?

1 个答案
已采纳答案

品职答疑小助手雍 · 2023年09月08日

同学你好,这个和一级数量里期望和方差的概念是一个道理,EL其实就是期望,期望不用考虑相关性。