NO.PZ2020033002000083
问题如下:
If a bond with a face value of $ 100 million has a one-year cumulative default probability of 2% with zero recovery rate. What is its 99.9% credit var with 99.9% confidence level over the next month?
选项:
A.0
B.$0.168 million
C.$99.832 million
D.$100 million
解释:
C is correct.
考点:Credit VaR
解析:首先算出来月化的PD也就是0.168%,那么expected loss就等于0.168%*100%*100million=0.168 million。
然后就要算WCL,因为0.168%正面累计概率的话就是99.832%小于99.9%,所以第一个超过99.9%的损失数就是违约时的损失也就是100million。
credit VaR=WCL-EL=99.832million。
老师这里累积违约概率(1-PD月)^12=1-PD年
为什么不能是(1+PD月)^12=1+PD年