PRMIA CCRM Practice Questions - PRMIA Credit And Counterparty Risk Management Certificate Exam

Which of the following best describes Unexpected Loss (UL) in a credit risk context?

The mean loss over a long horizon The standard deviation (or volatility) of credit losses around the Expected Loss The maximum possible loss in a 1-in-100,000 event Losses caused by operational errors rather than defaults

Correct Answer:

The standard deviation (or volatility) of credit losses around the Expected Loss

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