题目
Consider two portfolios. One with USD 100 million credit exposure to a single B- rated counterparty. The second with USD 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 is correct?
选项
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.
答案
D
解析
Unexpected loss is the volatility of the expected loss. Therefore, there is diversified effect.意外损失是预期损失的波动性。 因此，存在多种效果。