NO.PZ2023091701000135
问题如下：
A risk manager at a bank is speaking to a group of analysts about estimating credit losses in loan portfolios. The manager presents a scenario with a portfolio consisting of two loans and provides information about the loans as given below:
选项：
A.CNY 1.38 million B.CNY 1.59 million C.CNY 3.03 million D.CNY 3.36 million解释：
C is correct. The standard deviation of losses (σi) for each individual loan is:
where, pi represents probability of default (p1 = 2%, p2 = 2%), Li represents exposure at default (amount borrowed) (L1 = CNY 15 million, L2 = CNY 20 million), and Ri represents recovery rate (R1 = 40%, R2 = 25%)).
Therefore, the standard deviations for loan 1 and loan 2 are:
The variance of losses on the portfolio can then be calculated as:
The standard deviation is therefore √9.1728=3.0287.
