NO.PZ2023091701000136
问题如下:
A risk manager at a retail bank is conducting a training session for newly hired risk analysts about the concept of unexpected loss (UL). To illustrate the calculation of UL, the manager provides the following data on a hypothetical loan portfolio:
• Principal amount of loan portfolio: SGD 120 million
• Portfolio default rate: 2.5%
• Recovery rate: 30%
• 1-year 99% VaR: SGD 9.6 million
• 1-year 99% ES: SGD 14.8 million
What is the 1-year UL of the loan portfolio at the 99% confidence level?
选项:
A.SGD 7.5 million B.SGD 11.7 million C.SGD 12.7 million D.SGD 16.9 million解释:
Using the terminology of value-at-risk (VaR), the 1-year 99% unexpected loss of a portfolio is equal to its expected loss subtracted from its VaR with a 1-year time horizon and a 99% confidence level. The expected loss equals portfolio default rate * (1 – recovery rate) * exposure at default = 0.025 * (1 – 0.3) * 120 = SGD 2.1 million. Therefore, the UL of this loan portfolio is 9.6 – 2.1 = SGD 7.5 million.
请问老师这算是一个比较偏的点吗?因为一般都会想到用UL的公式来解答。