schroeck

Learning outcomes: Describe how economic capital is derived. Explain how the credit loss distribution is modeled. Describe challenges to quantifying credit risk. Questions: 507.1. Which best describes the relationship between economic capital and unexpected loss? a. Economic capital is a...

Learning outcomes: Define and calculate expected loss (EL). Define and calculate unexpected loss (UL). Calculate UL for a portfolio and the risk contribution of each asset. Questions: 506.1. Consider the following four short-term loans held by a bank: Which loan has the highest expected...

Learning outcomes: Evaluate a bank’s economic capital relative to its level of credit risk. Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure, and loss rate. Questions: 505.1. According to Schroeck, economic capital is...