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和棋 · 2020年10月23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.

你好请问III应该怎么理解，为什么一单位PD的上升UL比EL提升多

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1 个答案

袁园_品职助教 · 2020年10月26日

同学你好！

不还意思回复晚了

这个选项由于一直有争议，所以去跟教研老师讨论了一下，Statement III 说的不对，LGD未知的情况下我们无法确定谁涨得更快，我们会勘误一下把答案改成 A

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