A review of Michael Ong's unexpected loss (UL) for a single credit-asset. First, I briefly compare the various definitions of unexpected loss we encounter in the FRM; they are not so different. Ong's UL is a single standard deviation (i.e., low confidence) while economic and regulatory capital (reflecting high confidence levels) are some multiple of Ong's UL.
Questions about Unexpected loss (UL) of credit asset
Want more info about Unexpected loss (UL) of credit asset?
Get free advice from education experts and Noodle community members.