程同学2023-03-15 17:06:19
程同学Suppose 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.
回答（1）
Lucia2023-03-16 09:42:13
Lucia同学你好，我们用这页PPT公式进行计算，EUR表示欧元，PD表示违约概率。
- 评论（0）
- 追问（0）
评论
0/1000
追答
0/1000
+上传图片