frm 11题

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

consider the following assumptions for Borrower B:  Expected Loss on loan is 5.5%, Expected defaulty frequency is 5%, Annual all-in-spread is 5.8%, Based on the KMV portifolio manager model, what is the unexpected loss on the loans for borrower B?

A.4.72%

B.10.5%  

C.2.64%  

D.12.42%

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：FRM Assumptions Unexpected assumption Frequency FRM

这道题 我也搞不明白
我想想

Annual all-in-spread is 5.8%
是什么东西？

同问，看了题目脑袋一片苍白

haha~~ ~~~~~~~~~~~~~~