一同学2018-10-25 16:41:07

An investor holds a portfolio of two long assets X and Y, valued recently at USD 85 million and USD 112 million, respectively. The 1-year probability of default for assets X and Y is 12% and 14%, and the joint probability of default is 4.5%. The loss given default for both assets is 45%.Calculate the estimated expected loss on the investor’s portfolio due to credit defaults over the next year. 老师您好！为什么第一种方法ELp=EL1+EL2不需要减去交叉部分？我认为还是有重复的部分啊，就比如1，2两个组合都买了同一只债券，那这只债券的损失就算了两次。