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?