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jjjzzz · 2020年03月15日

问一道题：NO.PZ2016082406000084

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A risk analyst is trying to estimate the credit VAR for a portfolio of two risky bonds. The credit VAR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that each bond is valued at $500,000 one month forward, and the one-year cumulative default probability is 2% for each of these bonds. What is the best estimate of the credit VAR for this portfolio, assuming no default correlation and no recovery?

选项：

A.

$841

B.

$1,682

C.

$998,318

D.

$498,318

解释：

ANSWER: D

As in the previous question, the monthly default probability is 0.00168. The following table shows the distribution of credit losses.

This gives an expected loss of $1,682, the same as before. Next, $500,000 is the WCL at a minimum 99.9% confidence level because the total probability of observing a number equal to or lower than this is greater than 99.9%. The credit VAR is then $500,000 - $1,682 = $498,318.

请问一个债券违约概率0.33%是怎么求出来的，年度PD和月度PD转换时是用公式（1-年度PD)=(1-月度PD)^12么

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1 个答案

袁园_品职助教 · 2020年03月15日

同学你好！

是的，先用你写的公式算出月度PD = 0.001682，然后计算只有一个bond违约的概率

只有一个bond违约即二选一，有两种情况，要么 A 违约 要么 B 违约

即 2 * 0.001682 * (1-0.001682) = 0.003359

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$1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 为什么WCL是500,000.00？

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