unexpected-loss

Hello, Does anyone have the derivation for the Unexpected Loss formula? It's formula 5.5 from Schroeck but the derivation is only available in Ong, Michael, Internal Credit Risk Models (Risk Books, 1999).

Hi, How could you calculate LR(Loss Rate) from Unexpected Loss formula? UL= EA X ((PD X stand^2 LR) + (LR^2 x stand^2 PD))^1/2 Many thanks, Javier

Hi David, Can you please show (expand) the ULp formula for 4 assets ? I want to know how the formula works (or how it looks like in 4 assets) instead of just memorizing the formula you provide us for 2 assets ? What if we were asked to find ULp for 5 assets...how would the formula looks...

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...

Dear Mr David Sir, while going through the earlier posts, I came across the following formula for calculating the portfolio Unexpected Loss as benig sent by you to 'ravi80' on 23 June 2008. UL(p) = SQRT [sum(i) sum(j) correlation (i,j)UL(i) * UL(j)] ...........................(A)...