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ysr1990 · 2020年05月23日

问一道题：NO.PZ2016082406000008

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Continuing with the previous question, what is the best estimate of the unexpected credit loss (away from the ECL), or credit VAR, for this portfolio?

选项：

A.

USD 570,000

B.

USD 400,000

C.

USD 360,000

D.

USD 370,000

解释：

ANSWER: D

Here, the joint default probability matters. If the two bonds default, the loss is$1,000,000×(1−60%)+$600,000×(1−40%)=$400,000+$360,000=$760,000\$1,000,000\times\left(1-60\%\right)+\$600,000\times\left(1-40\%\right)=\$400,000+\$360,000=\$760,000. This will happen with probability 1.27%. The next biggest loss is $400,000, which has probability of 3.00−1.27 = 1.73%3.00-1.27\text{ }=\text{ }1.73\%. Its cumulative probability must be 100.00−1.27=98.73%100.00-1.27=98.73\%. This is slightly above 98%, so $400,000 is the quantile at the 98% level of confidence or higher. Subtracting the mean gives $370,000.

Continuing with the previous question, what is the best estimate of the unexpected credit loss (away from the ECL), or credit VAR, for this portfolio?

上一题是哪道题目啊，我怎么做的时候没看到这些条件呢？？？？？

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1 个答案

袁园_品职助教 · 2020年05月24日

同学你好！

本道题题号是 PZ2016082406000008 ，上一道题是 PZ2016082406000007

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US400,000 US360,000 US370,000 ANSWER: Here, the joint fault probability matters. If the two bon fault, the loss is $1,000,000×(1−60%)+$600,000×(1−40%)=$400,000+$360,000=$760,000\$1,000,000\times\left(1-60\%\right)+\$600,000\times\left(1-40\%\right)=\$400,000+\$360,000=\$760,000$1,000,000×(1−60%)+$600,000×(1−40%)=$400,000+$360,000=$760,000. This will happen with probability 1.27%. The next biggest loss is $400,000, whihprobability of 3.00%-1.27%=1.73% Its cumulative probability must 100.00−1.27=98.73%100.00-1.27=98.73\%100.00−1.27=98.73%. This is slightly above 98%, so $400,000 is the quantile the 98% level of confinor higher. Subtracting the megives $370,000. ​请问第二大损失400000发生的概率是如何推导的？

2021-02-01 14:48 1 · 回答

还有最后这个expecteloss (the me) = 40000 是怎么算出来的？

2020-10-17 09:54 2 · 回答

为什么算expecteloss的时候 只考虑回收率而不考虑 fault probability呢？

2020-10-17 09:51 1 · 回答

The next biggest loss is $400,000, whihprobability of 3.00%-1.27%=1.73% 请问为什么概率不是3%*（1-5%）=2.85%

2020-09-19 11:49 3 · 回答

选%的时候，不是应该选择大一点的么？为什么不能选择760的98.7%呢？为什么还需要再算一个400的loss呢？谢谢

2020-09-08 05:50 2 · 回答