]<sup>1/2</sup> = $834,626</p>
<p>Ratio = $834,626 / $216,000 = 3.86 (closest to 4.0).</p></span>
<p></p></div></div></td></tr>
</table>
</div>
</li>
<li><em>统 计：</em>共计<span class=)
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Smallville Savings Bank (SSB) has a loan portfolio totaling $20,000,000 in commitments. Currently 60% is outstanding. The bank has assessed an average internal credit rating equivalent to 2% default probability over the next year. Drawdown upon default is assumed to be 75%. The bank has additionally estimated a LGD of 60%. The standard deviation of EDF and LGD is 5% and 25%, respectively. The ratio of unexpected loss to expected loss is closest to: A. 2.0. B. 0.50. C. 4.0. D. 0.25. |
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