NO.PZ2023091701000134
问题如下：
A risk analyst at a bank is estimating the
distribution of credit losses for a portfolio of 30 identical loan exposures.
The analyst assumes that the credit losses follow a binomial distribution. Each
loan has the following characteristics:
• Amount: SGD 500,000
• Probability of default: 4%
• Recovery rate: 30%
• Average pairwise default correlation: 0.4
What is the standard deviation of losses on the loan portfolio expressed as a percentage of the size of the portfolio?
选项：
A.3.8%
B.5.8%
C.7.8%
D.8.9%
解释：
The standard
deviation of losses for each individual loan is:
where p represents probability of default, Li represents exposure at default (amount borrowed), and Ri represents recovery rate.
The standard deviation of losses on the portfolio of n loans as a percentage of its size is then calculated as:
视屏中解析求组合的标准差应该是：
