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C_M_ · 2024年10月21日

这样算可以吗

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024042601000042

问题如下：

At the beginning of the year, a firm bought an AA-rated corporate bond at USD 110 per USD 100 face value. Using market data, the risk manager estimates the following year-end values for the bond based on interest rate simulations informed by the economics team:

In addition, the risk manager estimates the 1-year transition probabilities on the AA-rated corporate bond:

What is the 1-year 95% credit VaR per USD 100 of face value closest to?

选项：

A.

USD 9

B.

USD 18

C.

USD 30

D.

USD 36

解释：

The 95% credit VaR corresponds to the unexpected loss at the 95th percentile minus the expected loss, or the expected future value at the 95% loss percentile minus the current value. Using the probabilities in the given ratings transition matrix, the 95% percentile corresponds to a downgrade to BBB, at which the value of the bond would be estimated at 101. Since cash flows for the bond are not provided, we cannot derive the precise expected and unexpected losses, but the credit VaR (the difference) is easily derived by subtracting the estimated value given a BBB rating from the current value. 95% credit VaR = 110 – 101 = 9.

sigma_PD＝sqrt（0.25%(1-0.25%)）＝0.05 var＝sigma_PD*amount*z＝0.05*110*1.65＝9.06 这个算法正确吗

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1 个答案

pzqa27 · 2024年10月21日

嗨，爱思考的PZer你好：


这个不太行，您的算法是计算市场风险的算法，算的一个相对于均值的距离，在市场风险中，一般认为均值是0，所以可以这么算。但是在信用风险中，损失的均值不是0，因此正确的credit VaR计算方法是WCL-EL。

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