题目
Tip-Top, Inc., (Tip-Top) has a commitment with Super Size Bank for $10 million. The terms of the loan are fixed and cannot be changed over its life. Tip-Top experiences an unexpected change in its credit rating from Ba to Baa. Explain the most likely effect on expected loss and actual loss.
选项
A.Super Size Bank will increase the estimate of expected loss but not actual loss.
B.Super Size Bank will increase the estimate of expected loss and increase its estimate of actual loss.
C.Super Size Bank will decrease the estimate of expected loss but not actual loss.
D.Super Size Bank will decrease the estimate of expected loss and increase its estimate of actual loss.
答案
C
解析
A change from a Ba to Baa rating is an example of a credit upgrade. A credit upgrade will decrease the likelihood of default (EDF) reducing expected loss. Note that expected loss is an estimate of average future loss. Actual loss is by definition equal to zero until a credit event occurs.从Ba评级更改为Baa评级就是信用升级的一个例子。 信用升级将减少违约的可能性（EDF），从而减少预期损失。 注意，预期损失是平均未来损失的估计。 根据定义，在发生信用事件之前，实际损失等于零。