NO.PZ2024042601000045
问题如下：
Suppose there is a $1,000,000 portfolio with n = 50 credits that each has a default probability of π = 0.02 percent and a zero recovery rate, the default correlation is 0. In addition, each credit is equally weighted and has a terminal value of $20,000 if there is no default. The number of defaults is binomially distributed with parameters of n = 50 and π = 0.02, and the 95th percentile of the number of defaults based on this distribution is 3. What is the credit VaR at the 95% confidence level based on these parameters?
选项：
A.
$30,000
B.
$40,000
C.
$50,000
D.
$60,000
解释：
The expected loss is $20,000 ($1,000,000 × 0.02). If there are three defaults, the credit loss is $60,000 (3 × $20,000). The credit VaR at the 95% confidence level is $40,000 (calculated by taking the credit loss of $60,000 and subtracting the expected loss of $20,000).
老师好，1、如果三笔贷款的损失直接相加，不应该是p=1的情况吗？p=0是说每笔贷款相互独立，多少有一些分散化，为啥3笔贷款总损失是直接相加呢？
2、这道题为什么EL不能用PD*LGD*EAD来计算呢？
