开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

C_M_ · 2024年10月20日

1.0119和0.0034

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024042601000038

问题如下：

Becky the Risk Analyst is trying to estimate the credit value at risk (CVaR) of a three-bond portfolio, where the CVaR is defined as the maximum unexpected loss at 99.0% confidence over a one-month horizon. The bonds are independent (i.e., no default correlation) and identical with a one-month forward value of $1.0 million each, a one-year cumulative default probability of 4.0%, and an assumed zero recovery rate. Which is nearest to the one-month 99.0% CVaR?

选项：

A.

$989,812

B.

$1.0 million

C.

$1.7 million

D.

$2.3 million

解释：

The one-month PD = 1 - (100% - 4%)(1/12) = 0.3396%.

Expected loss = 98.9846% × 0 + 1.0119% × $1.0 million + 0.0034% × $2.0 million + 0% × $3.0 million = $10,188

The probability of zero defaults = (1 - 0.3396%)3 = 98.98464%.

Therefore, the 99.0% WCL is one default or $1.0 million, and

the 99.0% CVaR = $1.0 million - $10,188 = $989,812.

1.0119和0.0034是怎么算出来的

添加评论
1 个答案

pzqa27 · 2024年10月21日

嗨，努力学习的PZer你好：


一个月一个债券的违约率是0.3396%，现在是1个债券违约，那就是从3个债券里选1个出来违约即可，就是1C30.3396%*（1-0.3396%）^2=0.010118921

如果要2个债券违约，那就是(2C3*0.3396%^2)*(1-0.3396%)= 0.0034%

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 61

    浏览
相关问题

NO.PZ2024042601000038 问题如下 Becky the Risk Analyst is trying to estimate the cret value risk (CVaR) of a three-bonportfolio, where the CVis finethe maximum unexpecteloss 99.0% confinover a one-month horizon. The bon are inpennt (i.e., no fault correlation) aninticwith a one-month forwarvalue of $1.0 million each, a one-yecumulative fault probability of 4.0%, anassumezero recovery rate. Whiis nearest to the one-month 99.0% CVaR? A.$989,812 B.$1.0 million C.$1.7 million $2.3 million The one-month P= 1 - (100% - 4%)(1/12) = 0.3396%. Expecteloss = 98.9846% × 0 + 1.0119% × $1.0 million + 0.0034% × $2.0 million + 0% × $3.0 million = $10,188 The probability of zero faults = (1 - 0.3396%)3 = 98.98464%. Therefore, the 99.0% Wis one fault or $1.0 million, anthe 99.0% CV= $1.0 million - $10,188 = $989,812. WCL怎么确定的是99%就在1m 和 0m之间？怎么画的分布？

2024-10-26 19:42 2 · 回答

NO.PZ2024042601000038 问题如下 Becky the Risk Analyst is trying to estimate the cret value risk (CVaR) of a three-bonportfolio, where the CVis finethe maximum unexpecteloss 99.0% confinover a one-month horizon. The bon are inpennt (i.e., no fault correlation) aninticwith a one-month forwarvalue of $1.0 million each, a one-yecumulative fault probability of 4.0%, anassumezero recovery rate. Whiis nearest to the one-month 99.0% CVaR? A.$989,812 B.$1.0 million C.$1.7 million $2.3 million The one-month P= 1 - (100% - 4%)(1/12) = 0.3396%. Expecteloss = 98.9846% × 0 + 1.0119% × $1.0 million + 0.0034% × $2.0 million + 0% × $3.0 million = $10,188 The probability of zero faults = (1 - 0.3396%)3 = 98.98464%. Therefore, the 99.0% Wis one fault or $1.0 million, anthe 99.0% CV= $1.0 million - $10,188 = $989,812. Expecteloss = 98.9846% × 0 + 1.0119% × $1.0 million + 0.0034% × $2.0 million + 0% × $3.0 million = $10,188这个内容没太看懂

2024-10-20 21:02 2 · 回答

NO.PZ2024042601000038 问题如下 Becky the Risk Analyst is trying to estimate the cret value risk (CVaR) of a three-bonportfolio, where the CVis finethe maximum unexpecteloss 99.0% confinover a one-month horizon. The bon are inpennt (i.e., no fault correlation) aninticwith a one-month forwarvalue of $1.0 million each, a one-yecumulative fault probability of 4.0%, anassumezero recovery rate. Whiis nearest to the one-month 99.0% CVaR? A.$989,812 B.$1.0 million C.$1.7 million $2.3 million The one-month P= 1 - (100% - 4%)(1/12) = 0.3396%. Expecteloss = 98.9846% × 0 + 1.0119% × $1.0 million + 0.0034% × $2.0 million + 0% × $3.0 million = $10,188 The probability of zero faults = (1 - 0.3396%)3 = 98.98464%. Therefore, the 99.0% Wis one fault or $1.0 million, anthe 99.0% CV= $1.0 million - $10,188 = $989,812. 没看懂

2024-07-27 23:30 1 · 回答