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  1. Nicole Seaman

    P1.T1.20.2. Primitive risk factors and tail risk

    Learning objectives: Distinguish between expected loss and unexpected loss and provide examples of each. Interpret the relationship between risk and reward and explain how conflicts of interest can impact risk management. Questions: 20.2.1. According to GARP, one of the building blocks in risk...
  2. Nicole Seaman

    P1.T4.921. Risk contribution toward the portfolio's unexpected loss (Schroeck Ch.5)

    Learning objectives: Define and calculate expected loss (EL). Define and calculate unexpected loss (UL). Estimate the variance of default probability assuming a binomial distribution. Calculate UL for a portfolio and the UL contribution of each asset. Questions: 921.1. The following simplified...
  3. Nicole Seaman

    P2.T6.709. Credit risk components

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  4. Nicole Seaman

    P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)

    Learning objectives: Explain expected loss, unexpected loss, VaR, and concentration risk, and describe the differences among them. Evaluate the marginal contribution to portfolio unexpected loss. Define risk-adjusted pricing and determine risk-adjusted return on risk-adjusted capital (RARORAC)...
  5. W

    unexpected vs expected losses

    Hi David, There seems to be an inconsistency in the way EC is calculated. From your explanation, and the explanation in the reading, the unexpected loss is one sigma (or a multiple of sigmas) AWAY from the expected value of the portfolio, which should be the value of the portfolio minus the...