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

沉睡宝宝鸭 · 2024年10月26日

I的解析是不是得假设EL=0才成立，请问EL何时为0呢？又为什么可以=0呢？

  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。

如题

添加评论
1 个答案

pzqa27 · 2024年10月28日

嗨，努力学习的PZer你好：


不是的，I只是说VaR和WCL都是0，但没说EL一定是0. I 成立的条件如解析所表述的那样：99%的credit var等于0。worst case loss也是0，这里EL可以不是0， Credit VaR代表WCL-EL，它不会出现负数的情况，因为如果它为负数，代表没有信用风险就不需要资本金来cover 风险了，所以这里credit VaR最小是到0的。

----------------------------------------------
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

  • 38

    浏览
相关问题

NO.PZ2020033002000085 问题如下 riBank's risk control manager is using Cretrisk + to calculate the bank's 1% cret var. riBank now htwo large loans, one is 20 million US llars, the other is 30 million US llars, the two are not correlate Whiof the following conclusions about cret vis wrong?I.Both VanWcoulequto zero.II.Expecteloss coulexceeVaRIII.Expecteloss is always smaller ththe VAR. I anIII I ONLY I anII. III. is correct.考点Cret 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cret var等于0。worst case loss也是0。而expecteloss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

2023-08-14 22:04 1 · 回答

NO.PZ2020033002000085问题如下 riBank's risk control manager is using Cretrisk + to calculate the bank's 1% cret var. riBank now htwo large loans, one is 20 million US llars, the other is 30 million US llars, the two are not correlate Whiof the following conclusions about cret vis wrong?I.Both VanWcoulequto zero.II.Expecteloss coulexceeVaRIII.Expecteloss is always smaller ththe VAR. I anIIII ONLYI anII.III. is correct.考点Cret 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cret var等于0。worst case loss也是0。而expecteloss不为零，比var和wcl大。 希望从理论上彻底讲清楚，书上看不懂。

2023-07-16 16:48 1 · 回答

NO.PZ2020033002000085 问题如下 riBank's risk control manager is using Cretrisk + to calculate the bank's 1% cret var. riBank now htwo large loans, one is 20 million US llars, the other is 30 million US llars, the two are not correlate Whiof the following conclusions about cret vis wrong?I.Both VanWcoulequto zero.II.Expecteloss coulexceeVaRIII.Expecteloss is always smaller ththe VAR. I anIII I ONLY I anII. III. is correct.考点Cret 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cret var等于0。worst case loss也是0。而expecteloss不为零，比var和wcl大。 EL不是0，WCL=0。那Cret VaR就不等于0呀，只不过好像是一个负数。

2023-04-19 04:40 2 · 回答

NO.PZ2020033002000085 你好，我看了答案有一点疑问如下 如果两笔的P是0.5%，那么99%的WCL确实不是两笔都违约的情形（20+30），而是一笔违约一笔不违约了吧？WCL应该是30而不是0？

2021-11-20 11:54 1 · 回答