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Recent content by MarekH

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    The origin of Ong's Unexpected Loss (UL)

    There is a clear link between the UL formula and the formula for variance of a product of two variables. The Ong's UL formula can be written in a simplified form as follows: UL = EAD*\sqrt(E(D)*var(LGD) + E(LGD)^2 * var(D)) where D is a binomial random variable with mean equal to PD and...