187****0206
2025-02-20 13:25為什么expected payoff 賠付為什么要用1-recovery rate，這樣計算不是計算expected loss？
所屬：FRM Part II > Credit Risk Measurement and Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
2個回答
180****8696
2025-02-22 13:11
該回答已被題主采納
correct in noting that using 1?recovery?rate. 1?recovery?rate is related to calculating the expected loss, not the expected payoff. The reason 1?recovery?rate is used in the calculation of the expected payoff is that the recovery rate represents the proportion of the loan that is expected to be recovered in case of default, leaving the remainder as the loss. So, if the recovery rate is 80%, it implies a 20% expected loss on the loan. The expected payoff, in this case, would be the remaining value after accounting for the expected loss, which is why we use 1?recovery?rate to reflect the portion of the loan that is not recovered in case of default, and thus calculate the expected loss.
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楊玲琪助教
2025-02-24 15:37該回答已被題主采納
同學你好，
CDS賠付的就是損失部分。
希望能解答你的疑惑，加油！
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