[2008]Topic 51: Credit Risk Portfolio Models 相关习题 all, determine, developed, following

aianjie

 

AIM 1: Explain the four main reasons banks have developed credit portfolio tools.

The development and improvement of credit risk pricing models has helped in all of the following EXCEPT:

A) helping banks determine capital requirements.

B) allowing banks to use portfolio theory in the formation of new loans.

C) pricing of derivatives on risky assets.

D) None of the above (i.e., they are all the result of improved credit risk pricing models).

qingshu

 

5、The expected loss given that the loss has exceeded the VAR is best described as the

A) expected shortfall.

B) unexpected loss.

C) economic capital.

D) Poisson parameter.

qingshu

 

The correct answer is A

Expected shortfall is essentially an average or expected value of all losses greater than the VAR. An expression for this is: E[LP | LP > VAR].

qingshu

 

AIM 8: Explain, including equations, the individual contribution to unexpected losses.

Assume a portfolio consists of two loans of $1,000 with a correlation between loans of 0. Also, assume the unexpected loss of both loans is $2 and portfolio unexpected loss is $2.828. Find RC1, the risk contribution of loan 1 to unexpected losses.

A) $0.71.

B) $1.41.

C) $2.

D) $2.83.

qingshu

 

The correct answer is B

The sum of each individual risk contribution will equal the unexpected loss of the portfolio.

The risk contribution to loan 1 = UL1 ×(UL1 + ρ×UL2) / ULP

RC1 = 2 × (2 + 0(2))/2.828 = 1.4144.

qingshu

 

The correct answer is B

Unexpected loss is the standard deviation of portfolio losses. It does not directly relate to VAR.

qingshu

 

3、Subtracting the expected loss from VAR gives the measure known as:

A) unexpected loss.

B) economic capital.

C) expected shortfall.

D) hazard rate.

qingshu

 

The correct answer is B

Economic capital = VAR – E(LP). It is an amount of capital needed as a buffer to avoid insolvency.

qingshu

 

4、Assume a portfolio consists of two loans of $1,000 with a correlation between loans of 0. Also, assume the only two outcomes for each loan with equal probability are a loan loss of $8 or $12. Note that the average loss for each position is $10 and the expected loss on the portfolio is $20. Find ULp, the unexpected loss of the portfolio.

A) $2.83.

B) $0.71.

C) $8.00.

D) $10.00.

qingshu

 

The correct answer is A

E(Li) = $10, E(Lp) = $20,

ULp = ((0.25)(16 ? 20)2 + (0.5)(20 ? 20)2 + (0.25)(24 ? 20)2)0.5 = $2.828.