185***002021-07-03 19:21:33
185***00老师，我想请问一下EC与EL、UL的关系。问题由下题而来，谢谢老师！ 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)
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Adam2021-07-05 17:22:13
Adam同学你好，
经济资本EC覆盖非预期损失UL，这句话没错。
但并不意味着经济资本就等于非预期损失。
通常来说：有个资本乘数（Capital Multiplier）是指面对给定置信水平下的非预期损失，银行要准备多少倍的经济资本来进行风险管理。
经济资本=UL×CM
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