NO.PZ2023052301000056
问题如下：
An uncollateralized USD200,000 note has the following characteristics:
Recovery rate 95%
Exposure at default USD150,000
If the note’s expected loss in the event of default is USD2,500, its probability of default is closest to:
选项：
A.
15%
B.
25%
C.
33%
解释：
C is correct.
EL = POD × (EE – Collateral) × (1 – RR)
Substituting in the values provided:
USD2,500 = POD × (USD150,000)×(1 – 0.95)
POD = USD2,500/(USD150,000 ×0.05) = 0.33 = 33%
解析里的公式有减去抵押物，但实际数字计算的时候没有考虑200000元的抵押物价值
