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wawjbng · 2021年08月09日

UL的另一个公式

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000004

问题如下：

A bank granted Client A a total credit facility of $500,000, of which 70% is currently outstanding. The client's probability of default for the following year is estimated to be 2%, the loss given default is 50%, and the standard deviation of loss given default is 30%. The undrawn portion at the time of default assumes a 50% withdrawal. What is the bank's best estimate of expected and unexpected losses (standard deviation) ?

选项：

A.

EL = $3500, UL = $55,229

B.

EL = $3500, UL = $28,649

C.

EL = $4250, UL = $67,064

D.

EL = $4250, UL = $34,788

解释：

D is correct.

考点：Risk Contribution

解析：

AE=70%x$500,000+50%*30%*$500,000=$425,000

EL=425,000*2%*50%=4250

UL的公式如下：

UL=AE∗p×σLGD2+p×(1−p)×LGD2UL=AE\ast\sqrt{p\times\sigma_{LGD}^2+p\times{(1-p)}\times{LGD}^2}

代入公式，有

UL=34,788

老师好，还有一个UL公式是UL=（1-PD）（1-RR），为什么不能用这个公式来求解呢
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2 个答案

品职答疑小助手雍 · 2021年08月09日

嗨，努力学习的PZer你好：


首先给这么多条件肯定是要套解析里那个复杂的公式的哈，这公式从1级考到2级都有。

然后讲义里那个unexpected loss我觉得只是个文字游戏，特指违约的时候的unexpected loss有多少。

就是违约的时候的损失1-RR，减去expected的，剩下的就是unexpected 的，考试基本不会这么考

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

品职答疑小助手雍 · 2021年08月09日

嗨，爱思考的PZer你好：


这题本身是套解析里的公式的。

你说的这公式。。。为啥我没啥印象，出处是哪里麻烦告诉我一下，去查查。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

wawjbng · 2021年08月09日

信用风险强化串讲第十页，谢谢老师

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NO.PZ2020033002000004 问题如下 A bank granteClient A a totcret facility of $500,000, of whi70% is currently outstanng. The client's probability of fault for the following yeis estimateto 2%, the loss given fault is 50%, anthe stanrviation of loss given fault is 30%. The unawn portion the time of fault assumes a 50% withawal. Whis the bank's best estimate of expecteanunexpectelosses (stanrviation) ? EL = $3500, UL = $55,229 B.EL = $3500, UL = $28,649 C.EL = $4250, UL = $67,064 EL = $4250, UL = $34,788 is correct.考点Risk Contribution解析AE=70%x$500,000+50%*30%*$500,000=$425,000EL=425,000*2%*50%=4250UL的公式如下UL=AE∗p×σLG+p×(1−p)×LGUL=AE\ast\sqrt{p\times\sigma_{LG^2+p\times{(1-p)}\times{LG^2}UL=AE∗p×σLG​+p×(1−p)×LG​代入公式，有UL=34,788 AE=70%x$500,000+50%*30%*$500,000=$425,000解析里这条公式为什么要两部分相加？我理解不是只计算后面那部分就可以了吗？

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