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来自:FRM > 一级 > 电脑版 > Unit 1.风险基础 2021-07-19 15:21
Which of the following is(are) unexpected loss? I.Loan defaults are increasing simultaneously while recovery rates are decreasing. II.Lending losses are covered by charging a spread between the cost of funds and the lending rate. A I only B II only CBoth
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liuxuyao    2021-07-22 09:34

致精进的你:

同学,这个题目考察的是我们对于非预期损失的理解哈,贷款违约同时增加,而回收率却在下降,这就是相关性风险的一个例子。相关性风险可能会将潜在损失推高至意想不到的水平。相反,如果借贷损失包含利差,鉴于有足够的信息来比较这种利差,那么这些损失很可能被视为预期损失。

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