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lin · 2020年08月29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.

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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1 个答案

品职答疑小助手雍 · 2020年08月30日

嗨，努力学习的PZer你好：


根据谨慎性原则，要看的是累积概率第一个超过99.9%的数，就是1个bond违约时候的50万。（此时累计概率为0.9999718）


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