NO.PZ2020033002000009
问题如下：
A European bank mades a loan of EUR 3 million to company A and EUR 5 million to company B. After evaluation, the bank conclude the default probability over one year for company A and B are 10% and 5% respectively. The loss given default are 50% and 20% for A and B respectively. The joint default between A and B is 2%. What is the best estimate of the expected loss of default in one year for the bank?
选项：
A. EUR
0.05 million
B. EUR
0.15 million
C. EUR
0.20 million
D. EUR
0.24 million
解释：
A is correct.
考点：Credit VaR
解析：联合违约概率并不影响ECL的计算。
ECL=3*10%*50%+5*5%*20%=0.15+0.05=0.2 million
算出来不应该是选C吗
