NO.PZ2024042601000046
问题如下：
Suppose there is a $1,000,000 portfolio with n credits that each have a default probability, π = 2% and a zero recovery rate. The default correlation is 0 and n = 1,000. There is a probability of 28 defaults at the 95th percentile based on the binomial distribution with the parameters of n = 1,000 and π = 0.02. What is the credit VaR at the 95% confidence level based on these parameters?
选项：
A.
$7,000
B.
$8,000
C.
$9,000
D.
$10,000
解释：
The 95th percentile of the credit loss distribution is $28,000 (28 × $1,000,000/1,000). The expected loss is $20,000 ($1,000,000 × 0.02). The credit VaR is then $8,000 ($28,000 - $20,000).
老师有个问题，这道题并没有说每笔贷款的权重相等，能直接用总金额除以笔数作为每一笔贷款的金额吗？为什么可以？