问一道题：NO.PZ2019100902000022

问题如下：

Which of the following is incorrect?

选项：

For a two-asset portfolio, the risk contributions of each asset is: $RC_1=\frac{UL_1^2+\rho_{12}UL_1UL_2}{UL_P}$

and $RC_1=\frac{UL_2^2+\rho_{12}UL_1UL_2}{UL_P}$

For a two-asset portfolio, the unexpected loss of the portfolio is: $UL_P=\sqrt{UL_1^2+UL_2^2+2\rho_{12}UL_1UL_2}$

Expected loss and unexpected loss of individual asset are: $EL=AE\times LGD\times EDF$ and $UL=AE\times\sqrt{EDF\times\sigma_{LGD}^2+LGD^2\times\sigma_{EFD}^2}$

When calculating the unexpected loss of an individual asset, the variance of EDF can be calculated as: $\sigma_{EFD}^2=EDF\times EDF$

解释：

答案：D is correct

解析：A/B/C三个选项是定义，D选项应该改为：EDF × （1-EDF）