A为什么对？为什么是0？
expected loss是多少？
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
orange品职答疑助手 · 2018年08月16日
题干里没说明违约概率的高低，A选项的情态动词是can，表示可以，也就是WCL可以为0，也可以不为0的意思。所以得考虑PD的各种情况。
十六岁的烟火 · 2018年08月16日
原来是英语的问题，😅。那B选项呢？是个结论吗？也不一定一定大于VAR吧？
orange品职答疑助手 · 2018年08月16日
嗯，可对可不对的，只有C是一定错的因为它说的是necessary必然
quietvivian · 2018年08月17日
0.003哪来的呀
orange品职答疑助手 · 2018年08月17日
是自己假设的，题目那样问就得考察所有情况，所以自己假设一个数来进行考察
NO.PZ2016082406000085 The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR.请问为什么这里大于99%，WCL就等于0呢
NO.PZ2016082406000085 You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. 如果说违约概率特别低，WCL又是零，那么Var=WCL-EL岂不是为负数了？
You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. 没有看懂这个题目的，麻烦能再一下吗？
You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. 请教下老师，这道题可以从正态分布的var满足资可加性这条性质解答吗？
You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. BC两个怎么理解呢？UL=VaR=WCL-EL 怎么只从EL就能判断呢？