[2008]Topic 45: Unexpected Loss 相关习题 unexpected, standard, factors

aianjie

 

AIM 1: Describe factors contributing to expected and unexpected loss.

1、Unexpected loss is best characterized as:

A) variance of expected loss.

B) variance of unanticipated loss.

C) standard deviation of expected loss.

D) standard deviation of unanticipated loss.

pizi

谢谢分享

aianjie

 

The correct answer is B

Economic capital represents the capital a bank sets aside to cover losses in atypical conditions. Thus, economic capital will reasonably be set above the unexpected loss level, e.g. two standard deviations.

aianjie

 

AIM 4: Derive, mathematically, the unexpected loss on an asset.

1、The derivation of unexpected loss followed from which basic statistical identity?

VH = horizon value; V0 = current asset value.

A) VAR(V0) = E(V0)2 ? E(V20).

B) VAR(VH) = E(VH)2 ? E(V2H).

C) VAR(VH) = E(V2H) ? E(VH)2 + COV(V0, VH).

D) VAR(VH) = E(V2H) ? E(VH)2.

aianjie

 

The correct answer is D

Current asset value is not relevant to determining the distribution on the horizon date. Choice A has the squared terms in the wrong place. COV is not used in the derivation.

aianjie

 

9、Which of the following formulas for unexpected loss is CORRECT?

A)  [attach]13929[/attach] .

 

B)   [attach]13930[/attach].

 

C)  [attach]13931[/attach]
.

 

D) [attach]13932[/attach]
 .

aianjie

 

The correct answer is C

You can eliminate the two equations with LGD2 since LGD does not have square term. Then, you can eliminate the equation where the EDF term is multiplied by the VAR(LGD) term instead of VAR(EDF).

 

aianjie

 

AIM 3: Explain the relationship between economic capital and unexpected loss.

1、The type of capital used to buffer a bank from unexpected losses is known as:

A) regulatory capital.

B) unexpected capital.

C) risk-adjusted capital.

D) economical capital.

aianjie

 

The correct answer is D

It is imperative that a bank hold capital reserves (i.e., economic capital) to buffer itself from unexpected losses so that it can absorb large losses and continue to operate.

aianjie

 

2、Which of the following best describes the relationship between loan losses and economic capital?

A) Unexpected loss typically exceeds economic capital.

B) Economic capital typically exceeds unexpected loss.

C) Economic capital typically equals expected loss.

D) Expected loss typically exceeds economic capital.