问一道题：NO.PZ2019070101000067

问题如下：

Which of the following statements is false regarding expected loss or unexpected loss?

选项：

Unexpected loss typically exceeds expected loss.

When the probability of default is 0, unexpected loss is equal to 0.

When the probability of default is 0, expected loss is equal to 0.

Expected  captures variation in the value of risky assets.

解释：

D is correct.

考点：Expected loss & Unexpected loss

解析：一般情况下，非预期损失大于预期损失，但是当违约概率都是0，两者的数值都是0。

预期损失并没有捕捉到风险资产的波动改变。