NO.PZ2020033002000007
问题如下：
There is a bond portfolio consisted with two bonds. bond A and bond B .The values of bond A and bond B are $60 millions and $40 millions respectively. The one-year probabilities of default and the recovery rate of bond A are 5% and 60% respectively, while for bond B are 7% and 50%. Calculate the one-year expected credit loss of this portfolio. Give an assumption that the probability of joint default is 0.7% and the default correlation is 20%.
选项：
A.$ 1,200,000
B.$ 1,400,000C.$ 2,600,000
D.$ 3,270,000
解释：
C is correct.
考点： Credit VaR
计算： EL(A)=60*0.05*(1-0.6)=1.2m
EL(B)=40*0.07*(1-0.5)=1.4m
1.2+1.4=2.6m
跟correlation 没有关系
没太明白这里为什么可以忽略相关性。
更准确的算法是不是应该如下：
已知：
A违约：5%
B违约：7%
A且B违约：0.7%
所以可以算出：
A违约B不违约=5%-0.7%=4.3%
B违约A不违约=7%-0.7%=6.3%
然后再去计算expected loss
