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Unexpected loss (UL) of credit asset

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.
Length: 08:49

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