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?