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fdzh · 2023年10月26日

这道题是无法用课上讲的计算UL的公式来计算的,而是通过另外一个角度来思考。

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。

1 个答案

品职答疑小助手雍 · 2023年10月27日

同学你好,不着急,学到二级就会明白了,这里的UL其实也是credit var,这题考的就是它的定义式 WCL-EL。


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