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我们 · 2020年04月28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.

请问答案中的图表是怎么计算出来的？没有看懂啊


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1 个答案

袁园_品职助教 · 2020年04月29日

同学你好！

表格里公式显示有些问题，我已经告诉后台尽快修改了。

先算月度 = 0.00168，然后就是按照表格里的情况分别计算 PD 和 loss

例如第一行表示当两个债券同时违约，PD = 0.00168^2 = 0.00000282，Loss = $500,000 *2 = $1,000,000, Expected loss = PD * Loss = $ 2.82

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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？

2021-04-04 17:22 1 · 回答

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A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $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. 那么这题为什么不选C答案呢，按照反推法，根据谨慎性的原则，最大的损失不是1M么

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