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比如世界 · 2020年03月20日

问一道题：NO.PZ2019070101000070

  1. FRM I
  2. Valuation And Risk Models

问题如下：

The bank has two outstanding assets. The characteristics of the loan are shown in the following table. Given that the correlation between assets is 0.3, what is the unexpected loss of the portfolio?

选项：

A.

Less than $140,000

B.

Between $150,000 and $160,000

C.

Between $140,000 and $150,000

D.

More than $160,000

解释：

C is correct.

考点：The expression of unexpected loss

解析：计算过程如下所示：

UL=EA×（PD× σ LR 2 +LR2 × σPD 2）0.5

ULA =$4000000× （0.015× 0.102 + 0.62 × 0.032 ）0.5=$87086.16

ULB =$3000000× （0.03× 0.152 + 0.502 × 0.042 ）0.5=$98361.58

ULP =[ (87086.16) 2 + (98361.58) 2 +(2)(0.3)(87086.16)(98361.58)]0.5

=$149661.48

借这道题请老师帮忙总结下，一级四门学科里面，对于计算portfolio的XX，什么情况下需要带weight,什么情况不需要带。麻烦老师给一下大致的规律和原理，这个一直记不住，谢谢

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1 个答案

品职答疑小助手雍 · 2020年03月20日

同学你好，可能我没太明白你这个问题，我不确定你具体在问的。

因为组合的话一般都是带weight的啊，不管是算EL还是UL。

算单个资产的EL和UL往往不带weight。

不过我觉得如果你代入的不是百分比的weight，而是带的本金的绝对数值的话，一般都不用再考虑其他了。

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