这道题这样算可以吗

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：

EL = $3500, UL = $55,229

EL = $3500, UL = $28,649

EL = $4250, UL = $67,064

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：

$UL=AE\ast\sqrt{p\times\sigma_{LGD}^2+p\times{(1-p)}\times{LGD}^2}$

代入公式，有

UL=34,788

这道题我在算出el后，用wcl（我认为最大损失的（也就是所有敞口ead））减去el，得出ul，这样错在哪里？

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品职答疑小助手雍 · 2021年10月21日

同学你好，错误点是，定义上来说，WCL是以confidence level为前提的数值，不一定就是全部的EAD。

这题不知道怎么下手的原因就是我们对那个从一级到二级算UL的公式其实是有印象的，只是这题又多了一步PD的方差的计算。不过在没有给出confidence level的题目中，也只能这样计算，这公式算是考纲里不知道confidencelevel的情况下计算UL的仅有的方法了。确实不容易想到。

不过二级考试的时候，直接考这个公式的使用的概率不是很高，毕竟一级已经考过了。

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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 老师您好，我带入数值计算总是不对，请帮忙看看哪里错了UL=425000*((2%*(30%)^2+2%*98%*50%)^(1/2))其中违约概率为2%，LG准差30%，但这样计算出来是45773.90，和标准答案不对，不知道错在哪里了

2024-11-10 23:07 1 · 回答

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？

2024-09-07 15:58 2 · 回答

2023-03-16 15:55 1 · 回答

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 老师whi70% is currently outstanng. 这话表达的是70%已经提取了还是没有提取？outstanng意思是未完成的，那是没有提取？

2023-02-20 16:37 1 · 回答

这道题这样算可以吗

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