1-2553 ข้อ2 ถู&ag

1-2553 ข้อ2 ถู&ag

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? ? aa aa 0.75 aa 0.675 ? ? ? ? ? ? 1000 2500 0.9 ab 0.15 ab 0.135 rating a b ad 0.1 ad 0.09 LGD 70% 85% ab ba 0.05 aa 0.005 ? ? ? ? ? ? PD LOSS 0.1 bb 0.7 ab 0.07 a 0.68 0 bd 0.25 ad 0.025 b 0.205 0 d 0.115 700 1 ? ? ? ? ? ? PD LOSS ba aa 0.75 ba 0.15 a 0.19 0 0.2 ab 0.15 bb 0.03 b 0.59 0 ad 0.1 bd 0.02 d 0.22 2125 bb ba 0.05 ba 0.04 PD joint LOSS 0.8 bb 0.7 bb 0.56 a,a 0.1292 0 bd 0.25 bd 0.2 a,b 0.4012 0 a,d 0.1496 2125 b,a 0.03895 0 Expected Loss = 548 b,b 0.12095 0 b,d 0.0451 2125 d,a 0.02185 700 d,b 0.06785
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Unformatted text preview: 700 d,d 0.0253 2825 LOSS PD joint Cumulative PD 2825 0.0253 0.0253 VaR (97.5 %) = 2825 2125 0.1496 0.1749 2125 0.0451 0.22 EC = 2825 - 548 = 2277 700 0.02185 0.24185 700 0.06785 0.3097 0.1292 0.4389 0.4012 0.8401 0.03895 0.87905 0.12095 1 ? ? ? ? Join...
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This note was uploaded on 02/23/2012 for the course ENGINEERIN 101 taught by Professor Jhon during the Spring '10 term at Punjab Engineering College.

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