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二月十三日 · 2024年11月10日

我的数值哪里带入错了？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000004

问题如下：

A bank granted Client A a total credit facility of $500,000, of which 70% is currently outstanding. The client's probability of default for the following year is estimated to be 2%, the loss given default is 50%, and the standard deviation of loss given default is 30%. The undrawn portion at the time of default assumes a 50% withdrawal. What is the bank's best estimate of expected and unexpected losses (standard deviation) ?

选项：

A.

EL = $3500, UL = $55,229

B.

EL = $3500, UL = $28,649

C.

EL = $4250, UL = $67,064

D.

EL = $4250, UL = $34,788

解释：

D is correct.

考点：Risk Contribution

解析：

AE=70%x$500,000+50%*30%*$500,000=$425,000

EL=425,000*2%*50%=4250

UL的公式如下：

UL=AE∗p×σLGD2+p×(1−p)×LGD2UL=AE\ast\sqrt{p\times\sigma_{LGD}^2+p\times{(1-p)}\times{LGD}^2}

代入公式，有

UL=34,788

老师您好，我带入数值计算总是不对，请帮忙看看哪里错了

UL=425000*((2%*(30%)^2+2%*98%*50%)^(1/2))

其中违约概率为2%，LGD标准差30%，但这样计算出来是45773.90，和标准答案不对，不知道错在哪里了

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1 个答案

pzqa27 · 2024年11月12日

嗨，从没放弃的小努力你好：


解析里LGD是带平方的，你计算遗漏掉了。

----------------------------------------------
努力的时光都是限量版，加油！

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