问一道题：NO.PZ2016082406000007

问题如下：

A portfolio consists of two bonds. The credit VAR is defined as the maximum loss due to defaults at a confidence level of 98% over a one-year horizon. The probability of joint default of the two bonds is 1.27%, and the default correlation is 30%. The bond value, default probability, and recovery rate are USD 1,000,000, 3%, and 60% for one bond, and USD 600,000, 5%, and 40% for the other. What is the expected credit loss of the portfolio?

选项：

USD 0

USD 9,652

USD 20,348

USD 30,000

解释：

ANSWER: D

The ECL is for the first bond $1,000,000\times3\%\times{(1-60\%)}=12,000$ , and for the second $600,000\times5\%\times{(1-40\%)}=18,000$ . This adds up to $30,000. Note that this number does not depend on the default correlation.

老师，

为什么不用考虑相关性呢？

这个给了joint default probability，能用这个参数去计算么？

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2 个答案

品职答疑小助手雍 · 2020年04月14日

一阶导本身就是可以直接相加的。

按一个100万，一个60万，再求两个权重，然后再求百分比形式的EL，再乘以160万也行，答案都一样的。

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品职答疑小助手雍 · 2020年03月21日

同学你好，其实给的相关性等等参数都是算UL需要用的，但是问题其实问的是EL，也就是单纯的期望，所以不需要用。

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weibingyuan · 2020年04月14日

这里没有给出组合里每个bond所占的比重，怎么能直接把两个expected loss直接相加吗，应该根据比重加权才对吧？

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A portfolio consists of two bon. The cret Vis finethe maximum loss e to faults a confinlevel of 98% over a one-yehorizon. The probability of joint fault of the two bon is 1.27%, anthe fault correlation is 30%. The bonvalue, fault probability, anrecovery rate are US1,000,000, 3%, an60% for one bon anUS600,000, 5%, an40% for the other. Whis the expectecret loss of the portfolio? US0 US9,652 US20,348 US30,000 ANSWER: The Eis for the first bon1,000,000×3%×(1−60%)=12,0001,000,000\times3\%\times{(1-60\%)}=12,0001,000,000×3%×(1−60%)=12,000, anfor the secon600,000×5%×(1−40%)=18,000600,000\times5\%\times{(1-40\%)}=18,000600,000×5%×(1−40%)=18,000. This as up to $30,000. Note ththis number es not penon the fault correlation. 这一题用joint probability应该怎么求？

2020-10-23 12:23 1 · 回答

问一道题：NO.PZ2016082406000007

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