【FRM每日一题】一级：估值与风险模型
备考FRM一级 | 2015-08-29
Consider two portfolios. One with USD 100 million credit exposure to a single B-rated counterparty. The second with Euro 100 million on credit exposure split evenly between 50 B-rated counterparties. Assume that default probabilities and recovery rates are the same for all B-rated counterparties. Which of the following statements is not wrong?
A.The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.
B.The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.
C.The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.
D.The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.
Answer: D
Unexpected loss is the volatility of the expected loss. Therefore, there is diversified effect.>>>FRM五月真题
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