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徐威廉 · 2024年04月23日

这是什么计算公式?

NO.PZ2023090401000003

问题如下:

Question A risk manager at a bank is speaking to a group of analysts about estimating credit losses in loan portfolios. The manager presents a scenario with a portfolio consisting of two loans and provides information about the loans as given below:


Assuming portfolio losses are binomially distributed, what is the estimate of the standard deviation of losses on the portfolio?

选项:

A.

CNY 1.38 million

B.

CNY 1.59 million

C.

CNY 3.03 million

D.

CNY 3.36 million

解释:

C is correct. The standard deviation of losses (si) for each individual loan is:


where, pi represents probability of default (p1 = 2%, p2 = 2%), Li represents exposure at default (amount borrowed) (L1 = CNY 15 million, L2 = CNY 20 million), and Ri represents recovery rate (R1 = 40%, R2 = 25%)).

Therefore, the standard deviations for loan 1 and loan 2 are:


The variance of losses on the portfolio can then be calculated as:


The standard deviation is therefore √9.1728 = 3.0287.

A is incorrect. This uses the incorrect formula for standard deviation of losses of the individual loans

B is incorrect. This incorrectly assumes portfolio standard deviation of losses to be ρ1,2σ1σ2

D is incorrect. This incorrectly assumes portfolio standard deviation of losses to be the sum of the individual loans’ standard deviations of losses.

Section: Valuation and Risk Models

Learning Objective:

Estimate the mean and standard deviation of credit losses assuming a binomial distribution.

Reference: Global Association of Risk Professionals. Valuation and Risk Models. New York, NY: Pearson, 2022. Chapter 6. Measuring Credit Risk

给了一堆算EL的数据,怎么算标准差?

1 个答案
已采纳答案

李坏_品职助教 · 2024年04月23日

嗨,努力学习的PZer你好:


这个是用的原版书教材里面的公式:

红框公式1是单个loan的Loss的标准差,红框公式2是组合的方差。


首先用公式1计算出Loan1和Loan2各自的σ。 σ1 = 根号(2%-2%^2) * [15 * (1-40%)],σ2 = 根号(2%-2%^2) * [20 * (1-25%)],

再用公式2求出组合的σ^2。组合的σ^2就类似于把两只股票组合起来求方差一样,σp^2 = σ1^2 + σ2^2 + 2*ρ*σ1*σ2.

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