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    Question

    Which of the following is NOT one of the three

    components required for credit risk quantification?
    A Probability of Default (PD) Correct Answer Incorrect Answer
    B Loss Given Default (LGD) Correct Answer Incorrect Answer
    C Exposure at Default (EAD) Correct Answer Incorrect Answer
    D Credit Score (CS) Correct Answer Incorrect Answer
    E Expected Loss (EL) Correct Answer Incorrect Answer

    Solution

    Credit risk quantification involves the estimation of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), but Credit Score (CS) is not a direct component in the credit risk calculation for capital and provisioning purposes

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