对一道题的解法很不解，想问问大家

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

是handbook上的，06年真题也出现过类似的：
EXAMPLE 18.8: FRM EXAM 2000—QUESTION 51
A portfolio consists of two (long) assets £100 million each. The probability
of default over the next year is 10% for the first asset, 20% for the second
asset, and the joint probability of default is 3%. Estimate the expected loss
on this portfolio due to credit defaults over the next year, assuming 40%
recovery rate for both assets.
a. £18 million
b. £22 million
c. £30 million
d. None of the above

书上的计算过程如下：a) The three loss events are
(i) Default by the first alone, with probability 0.10 − 0.03 = 0.07
(ii) Default by the second, with probability 0.20 − 0.03 = 0.17
(iii) Default by both, with probability 0.03
The respective losses are £100×(1 − 0.4) × 0.07 = 4.2, £100×(1 − 0.4) ×
0.17 = 10.2, £200×(1 − 0.4) × 0.03 = 3.6, for a total expected loss of £18
million

我不解的是，其实2个ASSET是有相关性的，为什么不先算出违约相关系数，然后计算预期损失呢？
我的计算是先求出违约相关系数，然后计算三种违约事件的概率，进而得出预期损失，但是我算不出答案。

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Probability Portfolio bability Expected Portfoli 解法

沙发自己做，灌水自己喝

好好看看书本，能用简单的方法就力求简单啦！

Believe your FRM Handbook is not the 5th edition. Your solution is correct, but quite complex and not clear.

Firstly, the expected credit loss depends on default probabilites but not on default correlation. In contrast, the higher the default correlation, the higher the unexpected credit loss.

So the simple way to do this is as follows:
Portfolio EL = ELa + ELb
ELa = 100 x (1-40%) x 10% = 6m
ELb = 100 x (1-40%) x 20% = 12m
Thus, Portfolio EL = ELa + ELb = 6m + 12m = 18m

This is a very good question. This kind of question is almost in every year, like 2000, 2002, 2003, 2004, 2006 and 2007. More over, there are three questions related to EL and UL in FRM 2007. Please take a look at Example 18.5, 18.6 and 18.7 on page 442 in FRM Handbook 5th edition. they're all from 2007 FRM exam.

thanks for your kind help~