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还是星宇好 · 2020年08月16日

问一道题：NO.PZ2016082406000005

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Define unexpected loss (UL) as the standard deviation of losses and expected loss (EL) as the average loss. Further define LGD as loss given default, and EDF as the expected default frequency. Which of the following statements hold(s) true?

I.     EL increases linearly with increasing EDF.

II.   EL is often higher than UL.

III. With increasing EDF, UL increases at a much faster rate than EL.

IV. The lower the LGD, the higher the percentage loss for both the EL and UL.

选项：

A.

I only

B.

I and II

C.

I and III

D.

II and IV

解释：

ANSWER: C

Equation:E(CL)=E(n)E(LGD)=NpE(LGD)E{(CL)}=E{(n)}E{(LGD)}=NpE{(LGD)}shows that EL increases linearly with p, so answer I. is correct. Answer II. is not correct, certainly for concentrated portfolios. Equation: σ(CL)=p×σ2(LGD)+p×(1−p)×[E(LGD)]2\sigma{(CL)}=\sqrt{p\times\sigma^2{(LGD)}+p\times{(1-p)}\times{\lbrack E{(LGD)}\rbrack}^2}shows that UL increases faster than EL linearly with p, so answer III. is correct. Finally, Answer II. is incorrect, as higher (not lower) LGD would lead to higher credit losses.

老师选项4 错哪里了

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小刘_品职助教 · 2020年08月17日

同学你好，

LGD低的话，EL肯定是低的，所以选项4 错了。

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