NO.PZ2023091701000130
问题如下：
An exposure has a default probability (PD) of 4.0% and loss given default of 50.0%. The standard deviation of the LGD is 25.0%. What is the ratio of the unexpected loss to the expected loss, UL/EL?
选项：
A.1.33 B.3.72 C.5.5 D.9.64解释：
Unexpected loss (%) = SQRT [EDF × variance (LGD) + LGD^2 × variance (EDF)] =
SQRT [4% × 25%^2 + 50%^2 × 4% × 96%] = 11.00%
Expected loss (%) = EDF × LGD = 4% × 50% = 2.0%
Ratio of UL/EL = 11.0%/2.0% = 5.50
这题没太看懂，乘的96%是什么
