Answer: CNY 51,701

## Explanation **C is correct.** Using Equation (3.15), the unexpected loss contribution for a single credit asset (ULCᵢ) is derived as follows: \[ ULC_i = UL_i * \sqrt{p} \] where \( p = \) pairwise default correlation = 0.25, and, \[ UL_i = \text{unexpected loss of each loan} = EA * \sqrt{(PD * \sigma_{LR}^2 + LR^2 * \sigma_{PD}^2)} \] where, - EA = loan exposure amount = CNY 3,000,000 - PD = 0.04 - \(\sigma^2(PD) = 0.196^2 = 0.0384\) - \(LR^2 = 0.15^2 = 0.0225\) - \(\sigma^2(LR) = 0.09^2 = 0.0081\) Therefore, \[ UL_i = \text{CNY } 3,000,000 * \sqrt{0.04 * 0.0081 + 0.0225 * 0.0384} \] \[ = \text{CNY } 3,000,000 * \sqrt{0.000324 + 0.000864} = \text{CNY } 103,402.13 \] Thus, \[ ULC_i = 103,402.13 * \sqrt{0.25} = \text{CNY } 51,701.07 \] **A is incorrect.** CNY 18,000 is not related to the calculation. **B is incorrect.** CNY 25,851 is the result obtained by incorrectly getting the product of ULᵢ and p. **D is incorrect.** CNY 103,402 is the unexpected loss (ULᵢ) itself, not the unexpected loss contribution (ULCᵢ).

Author: LeetQuiz .