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Bank regulators are examining the loan portfolio of a large, diversified lender. The regulators main concern is that the bank remains solvent during turbulent economic times. Which of the following is most likely the area that the regulator will want to focus on?
a. Expected loss, since each asset can expect, on average, to decline in value from a positive probability of default.
b. Expected loss, given the increase in underwriting standards of new loans.
c. Unexpected loss, since the bank will need to set aside additional capital for the unlikely event that recovery rates are larger than expected.
d. Unexpected loss, since the bank will need to set aside additional capital for the unlikely event that default losses are larger than expected.
答案解析：選D
Unexpected loss is a measure of the variation in expected loss. As a precaution, the bank needs to set aside sufficient capital in the event that actual losses exceed expected losses with a reasonable likelihood. (Sec Book 2, Topic 53)
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