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.Ba到Baa属于信用评级上调，这将将降低违约的可能性，降低预期损失。预期损失是对未来平均损失的估计。因此根据定义，在信用事件发生之前，实际损失为零。