easy · FRM Part 1 Valuation and Risk Models
If the Loss Given Default (LGD) is treated as a fixed constant, what is the primary driver of Unexpected Loss (UL) for a single exposure?
- The historical volatility of the risk-free interest rate
- The average tenure of the loan facility
- The standard deviation of the default event (Bernoulli variable)
- The bank's internal cost of funds
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