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2021-07-03 19:21老師，我想請(qǐng)問(wèn)一下EC與EL、UL的關(guān)系。問(wèn)題由下題而來(lái)，謝謝老師！ Which best describes the relationship between economic capital and unexpected loss? A.Economic capital is a multiple of unexpected loss B.Economic capital is unrelated to unexpected loss C.Economic capital is equal to (synonymous with) unexpected loss D.Economic capital is unexpected loss plus credit value at risk (CVaR)
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Adam助教
2021-07-05 17:22
該回答已被題主采納
同學(xué)你好，
經(jīng)濟(jì)資本EC覆蓋非預(yù)期損失UL，這句話沒(méi)錯(cuò)。
但并不意味著經(jīng)濟(jì)資本就等于非預(yù)期損失。
通常來(lái)說(shuō)：有個(gè)資本乘數(shù)（Capital Multiplier）是指面對(duì)給定置信水平下的非預(yù)期損失，銀行要準(zhǔn)備多少倍的經(jīng)濟(jì)資本來(lái)進(jìn)行風(fēng)險(xiǎn)管理。
經(jīng)濟(jì)資本=UL×CM
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