NO.PZ2020033002000006
问题如下：
There is a bond portfolio consisted with two bonds. bond A and bond B .The values of bond A and bond B are $60 millions and $40 millions respectively. The one-year probabilities of default and the recovery rate of bond A are 5% and 60% respectively, while for bond B are 7% and 50%. Calculate the one-year expected credit loss of this portfolio. Give an assumption that the defalut between A and B is independent.
选项：
A.
$1,200,000
B.
$1,400,000
C.
$2,600,000
D.
$3,200,000
解释：
C is correct.
考点： Credit VaR
计算： EL(A)=60*0.05*(1-0.6)=1.2m
EL(B)=40*0.07*(1-0.5)=1.4m
1.2+1.4=2.6m
为什么不是a平方加b平方加两倍的rho*a*b，再开根号
