NO.PZ2018062006000153
问题如下:
Which of the following can most appropriately measure the credit risk?
选项:
A.Expected loss.
B.Loss severity.
C.Default probability.
解释:
A is correct.
The expected loss incorporates both the loss severity and the default probability. Neither component alone fully measures the credit risk.
考点:信用风险
解析:Expected Loss=LGD×POD,信用风险既取决于违约概率,也取决于一旦违约造成的损失。所以用Expected Loss作为衡量信用风险的指标最为适合,故选项A正确。
如题