问题如下:
The bank has two outstanding assets. The characteristics of the loan are shown in the following table. Given that the correlation between assets is 0.3, what is the unexpected loss of the portfolio?
选项:
A.Less than $140,000
B.Between $150,000 and $160,000
C.Between $140,000 and $150,000
D.More than $160,000
解释:
C is correct.
考点:The expression of unexpected loss
解析:计算过程如下所示:
UL=EA×(PD× σ LR 2 +LR2 × σPD 2)0.5
ULA =$4000000× (0.015× 0.102 + 0.62 × 0.032 )0.5=$87086.16
ULB =$3000000× (0.03× 0.152 + 0.502 × 0.042 )0.5=$98361.58
ULP =[ (87086.16) 2 + (98361.58) 2 +(2)(0.3)(87086.16)(98361.58)]0.5
=$149661.48
借这道题请老师帮忙总结下,一级四门学科里面,对于计算portfolio的XX,什么情况下需要带weight,什么情况不需要带。麻烦老师给一下大致的规律和原理,这个一直记不住,谢谢