Financial Risk Manager Part 1
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Expected loss (EL) has three components: probability of default (PD), exposure amount (EA), and loss rate (LR). With respect to these components of EL, each of the following is true EXCEPT which is not accurate?
Expected loss (EL) has three components: probability of default (PD), exposure amount (EA), and loss rate (LR). With respect to these components of EL, each of the following is true EXCEPT which is not accurate?
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Exposure amount (EA) is the standard deviation of credit losses estimated at the end of the horizon excluding outstanding interest payments.
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