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我的世界守则 · 2023年08月14日

没明白解析里为什么会有单笔贷款违约率0.5%

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000085

问题如下：

Durian Bank's risk control manager is using Creditrisk + to calculate the bank's 1% credit var. Durian Bank now has two large loans, one is 20 million US dollars, the other is 30 million US dollars, the two are not correlated. Which of the following conclusions about credit var is wrong?

I.Both VaR and WCL could be equal to zero.

II.Expected loss could exceed VaR

III.Expected loss is always smaller than the VAR.

选项：

A.

I and III

B.

I ONLY

C.

I and II.

D.III.

解释：

D is correct.

考点：Credit VaR

解析：比如两笔贷款的违约概率都是0.5%，两者联立的不违约概率是0.995*0.995等于99.0025%。此时99%的credit var等于0。worst case loss也是0。而expected loss不为零，比var和wcl大。

看不懂为什么要这么假设

题干里也没有给这个信息啊

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1 个答案

DD仔_品职助教 · 2023年08月16日

嗨，从没放弃的小努力你好：


同学你好，

这不是题干信息，只是在做简单的假设来证明I对：有两个贷款的违约概率都是0.5%，那么他们一起都不违约的概率就是99.5%*99.5%=99.0025%，也就是说99.0025%的情况下损失为0。如果现在要求99%置信区间下的情况，99%的var和WCL肯定是0，因为超过99%的情况损失都是0了，99%的情况肯定也是0，所以I对。

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