Credit Risk

[Koga_Enock]

Hello.

Can someone plz assist.

Which formula is correct for calculating the Unexpected Loss of a Loan portfolio

1. UL_p=sqrt(sum_isum_j(w_iw_j rho_{ij}UL_i UL_j)) with w_i=EA_i/sum(EA_i)

2. UL_p=sqrt(sum_isum_j(rho_{ij}UL_i UL_j)). without weights?

Thanks

[ohai]

Gimme some some yeah behbeee