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风归去 · 2021年08月22日

AE的计算

  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

No.PZ2020033002000004 

该问题中敞口AE的计算公式有些不太理解，能具体说明一下吗？

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2 个答案
已采纳答案

李坏_品职助教 · 2021年08月24日

嗨，爱思考的PZer你好：


这句话意思是：还没借出去的30%那部分，要记入AE的是50%的withdrawal。（withdrawal是被借款人取走的，就是bank可能损失掉的部分）


如果改成30%的withdrawal，那么就是要按照30%计入AE了。

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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！

李坏_品职助教 · 2021年08月22日

嗨，爱思考的PZer你好：


AE是这样的计算的，首先是银行已经借出去的（outstanding）的部分70% * 500000。

然后没借出去的部分有30%, 这些没借出去的部分的敞口是按照LGD的50%来计算，也就是30% * 50% * 500000。


然后二者加起来即可。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

风归去 · 2021年08月24日

The undrawn portion at the time of default assumes a 50% withdrawal中 50% withdrawal是指损失还是未损失的敞口，比如说条件改成The undrawn portion at the time of default assumes a 30% withdrawal，那么没借出去的敞口是按照30%计提还是70%加入敞口？

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