NO.PZ2023102301000039
问题如下：
Suppose a bank loan has the following characteristics: Gross revenues are $1.3 million. Interest expense is $0.3 million. The return on the $5 million economic capital invested in T-bills is $100,000. The firm’s beta is 1.5. The unexpected loss for the loan is estimated at $500,000. The adjusted RAROC is equal to 8%. What is the worst-case loss for this loan?
选项：
A.$1.6 million
B.$2.3 million
C.$0.9 million
D.$0.75 million
解释：
First, determine RAROC as follows:
RAROC = βE × ARAROC + RF
The RF is calculated as the return from economic capital, which is $100,000/$5,000,000 = 2%.
RAROC = 1.5 × 0.08 + 0.02
RAROC = 14%
Second, determine the expected loss for the loan as follows:
EL = -(RAROC × EC – revenues + expenses – return on EC)
EL = -(0.14 × $5 - $1.3M + $0.3M - $0.1M) = $400,000
Finally, compute the worst-case loss as the sum of expected and unexpected loss:
Worst-case loss = expected loss + unexpected loss
Worst-case loss = $400,000 + $500,000
Worst-case loss = $0.9M
老师好，EC就是覆盖UL的，分母为什么不是50万？而且这道题为什么EC和UL不一样？题目说的就是suppose a bank loan…而unexpected loss for the loan is 50万。
