NO.PZ2020011303000150
问题如下:
In the last ten years, a bank has had losses (in millions of euros) of 4, 6, 12, 50, 70, 140, and 280. What is the bank’s loss component under the SMA?
选项:
解释:
In millions of euros, total losses for ten years are 562, losses greater than ten are 552, and losses greater than 100 are 420. The loss component is
7×56.2 + 7×55.2 + 5×42.0 = 989.8
题目问:在过去的10年里,一家银行的损失是4m,6m,12m,50m,70m,140m和280m。求SMA方法下银行损失的组成是什么?
10年总共的损失是562,每年平均56.2;大于10m的损失一共是552,平均每年是55.2;大于100m的损失是420,每年平均是42。
loss component=7×56.2 + 7×55.2 + 5×42.0 = 989.8
这个计算要掌握么