claireteng · 2022年04月07日
NO.PZ2020011303000126
问题如下：
A USD 1million loan has a probability of 0.5% of defaulting in a year. The recovery
rate is estimated to be 40%. What is the expected credit loss and the standard
deviation of the credit loss?
解释：
The expected loss in USD is 0.005 × 1 × (1 – 0.4) = 0.003. This is USD 3,000. The
NO.PZ2020011303000126问题如下A US1million loha probability of 0.5% of faulting in a year. The recoveryrate is estimateto 40%. Whis the expectecret loss anthe stanreviation of the cret loss? The expecteloss in USis 0.005 × 1 × (1 – 0.4) = 0.003. This is US3,000. The varianof the loss is 0.005 × 0.62 − (0.005× 0.6)2 = 0.001791. The stanrviation is the square root of this, or US0.04232 million. This is US42,320. E（loss的平方），为啥是lgea
这里公式的E(loss^2)是不是其实是(EALG^2，只是这里EA1，所以没体现出来
此题求的sigma是否就是unexpecteloss？
