程同學
2023-03-15 17:06Suppose that a bank has a portfolio with 10,000 loans, and each loan is EUR 1 million and has a 0.5% PD in a year. Also assume that the recovery rate is 30% and correlation between losses is 0.2. Calculate the standard deviation of the loss from the loan portfolio and the standard deviation of the loss as a percentage of its size.
這個題要怎么做啊，這個EUR和PD是什么的縮寫
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Lucia助教
2023-03-16 09:42
該回答已被題主采納
同學你好，我們用這頁PPT公式進行計算，EUR表示歐元，PD表示違約概率。
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