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还是星宇好 · 2020年10月14日

问一道题:NO.PZ2019100902000022

问题如下:

Which of the following is incorrect?

选项:

A.

For a two-asset portfolio, the risk contributions of each asset is: RC1=UL12+ρ12UL1UL2ULPRC_1=\frac{UL_1^2+\rho_{12}UL_1UL_2}{UL_P}

and RC1=UL22+ρ12UL1UL2ULPRC_1=\frac{UL_2^2+\rho_{12}UL_1UL_2}{UL_P}

B.

For a two-asset portfolio, the unexpected loss of the portfolio is: ULP=UL12+UL22+2ρ12UL1UL2UL_P=\sqrt{UL_1^2+UL_2^2+2\rho_{12}UL_1UL_2}

C.

Expected loss and unexpected loss of individual asset are: EL=AE×LGD×EDFEL=AE\times LGD\times EDF and UL=AE×EDF×σLGD2+LGD2×σEFD2UL=AE\times\sqrt{EDF\times\sigma_{LGD}^2+LGD^2\times\sigma_{EFD}^2}

D.

When calculating the unexpected loss of an individual asset, the variance of EDF can be calculated as: σEFD2=EDF×EDF\sigma_{EFD}^2=EDF\times EDF

解释:

答案:D is correct

解析:A/B/C三个选项是定义,D选项应该改为:EDF × (1-EDF)

cd的EDF是不是打错了,打成了EFD

1 个答案

袁园_品职助教 · 2020年10月15日

同学你好!

是的,typo,已通知后台老师改正,谢谢你的细心!