[2008]Topic 46: Portfolio Effects: Risk Contributions and Unexpected Losses 相 following, unexpected, all, individual

aianjie

 

AIM 6: Define, calculate and interpret risk contributions within a portfolio.

1、The individual risk contribution to unexpected loss depends on all of the following EXCEPT the:

A) unexpected loss of all the assets in the portfolio.

B) unexpected loss of the portfolio.

C) correlations of the unexpected losses of the individual positions.

D) confidence level.

cmsm3186

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pizi

谢谢

aianjie

 

The correct answer is B

AE = OS + (COM - OS) × UGD

AE = 0.65 × $5 million + 0.35 × $5 million × 0.65

AE = $4,387,500

 

 [attach]13933[/attach]

Compute UL for both loans.

 

 [attach]13934[/attach]

Compute ULP.

 

 

aianjie

 

2、Bank X has two equal-sized and maturity loans of $5,000,000 each. The drawdowns on both loans are 65% and expected drawdown given default is also 65%. Both loans fall in the same risk class with a 1% probability of default and 75% loss given default. The remainder of the relevant loan information is summarized below:

<>	Loan 1	Loan 2
σEDF	2.00%	5.00%
σLGD	25.00%	40.00%

Unexpected loss for the portfolio is closest to:

A)    $200,000.

B)    $127,000

C)   $240,000.

D)   $272,000.

aianjie

 

The correct answer is D

The individual risk contribution to unexpected loss is not dependent on a confidence level.

aianjie

 

AIM 8: Define, calculate and interpret the effect correlation has on the expected and unexpected losses in a portfolio.

1、Bank X has two equal-sized and maturity loans of $5,000,000 each. The drawdowns on both loans are 65% and expected drawdown given default is also 65%. Both loans fall in the same risk class with a 1% probability of default and 75% loss given default. The remainder of the relevant loan information is summarized below:

σEDF	2.00%	5.00%
σLGD	25.00%	40.00%

Expected loss for the portfolio is closest to:

A)    $33,000.

B)    $65,000.

C)   $250,000.

D)   $115,000.

aianjie

 

The correct answer is B

AE = OS + (COM - OS) × UGD

AE = 0.65 × $5 million + 0.35 × $5 million × 0.65

AE = $4,387,500

Compute EL for both loans.

EL1  = AE × EDF × LGD 

  = $4,387,500 × (0.01) × (0.75) 

  = $32,906 

EL2  = AE × EDF × LGD 

  = $4,387,500 × (0.01) × (0.75) 

  = $32,906 

Compute ELP.

ELP  = $32,906 + $32,906

ELP = $65,813 (rounded)