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About concentrations and correlations, which one is true?
A) Diversity effectively reduced the unexpected loss of a credit portfolio.
B) Concentrations only affect expected loss instead of unexpected loss.
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C) All else equal, the more portfolio is concentrated, the less risky the portfolio is.
D) When consider credit portfolio, we cannot make a decision solely based on one bond. We should take the correlations into consideration, and usually pick the one which has high correlations.
答案：A
解析：Concentrations only affect unexpected loss instead of expected loss.All else equaling, the more portfolio is concentrated, the more risky the portfolio is.
Abank has an outstanding trade with one of its counterparties with an exposure of $500,000 and a recovery rate of 70%. The bank estimated that there is a 2% probability that the counterparty will default on its obligations. What is the bank’s expected loss?
A) $3,000
B) $7,000
C) $10,000
D) $150,000
答案：A
解析：At a recovery rate of 70%, the recovery amount is $500,000×0.70 = $350,000 The loss given default (LGD) is $500,000 - $350,000 = $150,000
Expected loss is (probability of default×LGD) = 0.02×$150,000 = $3,000
An investor holds a portfolio of USD 100 million. This portfolio consists of
A-rated bonds $40 million and BBB-rated bonds $60 million.Assume that the
one-year PD forA-rated and BBB-rated bonds are 3 % and 5%, respectively, and
that they are independent. If the recovery value forA-rated bonds in the event
of default is 70% and the recovery value for BBB-rated bonds is 45%, what is the
one-year expected credit loss from this portfolio?
A) $2,010,000
B) $2,623,000
C) $4,012,000
D) $1,218,000
答案：A
解析：Expected Loss forA-rated Bonds = 0.03×40,000,000 × (1 - 0.70) = 360,000 Expected Loss for BBB-rated Bonds = 0.05×60,000,000 × (1 - 0.45) = 1,650,000 Total Expected Loss = 360,000＋1,650,000 = 2,010,000
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