问一道题：NO.PZ2016082406000082

问题如下：

Mr. Rosenqvist, asset manager, holds a portfolio of SEK 200 million, which consists of BBB-rated bonds. Assume that the one-year probability of default is 4%, the recovery rate is 60%, and defaults are uncorrelated over years. What is the two-year cumulative expected credit loss on Mr. Rosenqvist’s portfolio?

选项：

SEK 6.40 million

SEK 6.27 million

SEK 9.60 million

SEK 9.48 million

解释：

ANSWER: B

The survival rate over two years is $S_2={(1-4\%)}^2=92.16\%$ , which implies a cumulative two-year default rate of 7.84%. Put differently, the first-year PD is 4%, then ${(1-4\%)}4\%=3.84\%$ . Multiplying by 200 and 40% gives 6.27.

可以先算出第一年的EL=4% * （1-60%）* 200=3.2 M

第二年的EL=96%*4%*200*（1-60%）=3.072M

再把二年的相加可以么

添加评论

1 个答案

小刘_品职助教 · 2020年10月26日

同学你好，

可以的。不过感觉题目给出的算法计算起来会更快，不然的话如果遇到3年，感觉很容易会带错数据~

添加评论

1
回答
0
关注
385
浏览

我要回答关注问题

相关问题

Mr. Rosenqvist, asset manager, hol a portfolio of SEK 200 million, whiconsists of BBB-ratebon. Assume ththe one-yeprobability of fault is 4%, the recovery rate is 60%, anfaults are uncorrelateover years. Whis the two-yecumulative expectecret loss on Mr. Rosenqvist’s portfolio? SEK 6.40 million SEK 6.27 million SEK 9.60 million SEK 9.48 million ANSWER: B The survivrate over two years is S2=(1−4%)2=92.16%S_2={(1-4\%)}^2=92.16\%S2=(1−4%)2=92.16% , whiimplies a cumulative two-yefault rate of 7.84%. Put fferently, the first-yePis 4%, then (1−4%)4%=3.84%{(1-4\%)}4\%=3.84\%(1−4%)4%=3.84%. Multiplying 200 an40% gives 6.27. 请问算出第一年不违约，第二年违约的概率3.84%的作用是什么呢

2020-04-28 17:27 1 · 回答

不是应该是200*（1-（1-0.04）^2) = 15.68吗？z怎么又变成第二年违约的损失计算了。谢谢

2018-10-03 15:56 1 · 回答

问一道题：NO.PZ2016082406000082

1 个答案

1

0

385

相关问题