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C_M_ · 2024年10月19日

3-1-2

NO.PZ2024042601000006

问题如下:

A credit analyst at a bank has been asked to produce an exposure analysis for three of the loans in the bank‘s portfolio. Loan information assembled by the analyst as well as the bank’s internal default.


There is no collateral provided by the borrower for these loans, so the analyst uses the notional amount provided above as the Exposure at Default. Which of the following correctly orders the expected loss for each loan from lowest to highest?

选项:

A.

Loan 1 < Loan 2 < Loan 3

B.

Loan 1 < Loan 3 < Loan 2

C.

Loan 2 < Loan 3 < Loan 1

D.

Loan 2 < Loan 1 < Loan 3

排序不应该是3-1-2吗

1 个答案

pzqa27 · 2024年10月21日

嗨,从没放弃的小努力你好:


第三个贷款,它是B+级别的,这个是投机级别,不是投资级别,因此应该是100*0.7*0.05=3.5, 它的EL是最大的,因此答案选1,2,3.A

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