开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

wawjbng · 2021年08月09日

图无法显示

NO.PZ2020033002000084

问题如下:

If two bonds each has a face value of $ 50 million and a one-year cumulative default probability of 2% with zero recovery rate. What is its 99.9% credit var with 99.9% confidence level over the next month, assume they are not correlated?

选项:

A.

$0

B.

$0.168million

C.

$49.832million

D.

$99.832million

解释:

C is correct.

考点:Credit VaR

解析:首先算出来月化的PD也就是0.168%,那么expected loss就等于0.168%*100%*(50+50)million=0.168 million。

然后就要算WCL,两只债券违约的情况如下图:

可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。

Credit VaR 就是50million-0.168million=49.832million。

老师好,这张图无法显示,想麻烦老师再给讲解下,没明白WCL是怎么算出来的
1 个答案

品职答疑小助手雍 · 2021年08月09日

嗨,努力学习的PZer你好:


总共种情况,2个都不违约损失0,1个违约一个不违约损失50,两个都违约损失100。

月违约概率已知,求三种情况的概率就可以了。

然后从损失0的概率开始累计,发现前两种情况累计概率就超过99.9%了。那么unexpected loss就是50million。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 1

    关注
  • 464

    浏览
相关问题

NO.PZ2020033002000084 问题如下 If two bon eaha favalue of $ 50 million ana one-yecumulative fault probability of 2% with zero recovery rate. Whis its 99.9% cret vwith 99.9% confinlevel over the next month, assume they are not correlate A.$0 $0.168million $49.832million $99.832million C is correct.考点Cret VaR解析首先算出来月化的P就是0.168%,那么expecteloss就等于0.168%*100%*(50+50)million=0.168 million。然后就要算WCL,两只债券违约的情况如下图可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。 Cret V就是50million-0.168million=49.832million。 如题

2024-10-27 21:39 1 · 回答

NO.PZ2020033002000084 问题如下 If two bon eaha favalue of $ 50 million ana one-yecumulative fault probability of 2% with zero recovery rate. Whis its 99.9% cret vwith 99.9% confinlevel over the next month, assume they are not correlate A.$0 $0.168million $49.832million $99.832million C is correct.考点Cret VaR解析首先算出来月化的P就是0.168%,那么expecteloss就等于0.168%*100%*(50+50)million=0.168 million。然后就要算WCL,两只债券违约的情况如下图可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。 Cret V就是50million-0.168million=49.832million。 第一列EL=0.168, 和表格里面的tot168000,数字相同,意义相同吗?Cret Var计算中减的是哪个0.168呢

2023-09-11 23:55 6 · 回答

NO.PZ2020033002000084问题如下 If two bon eaha favalue of $ 50 million ana one-yecumulative fault probability of 2% with zero recovery rate. Whis its 99.9% cret vwith 99.9% confinlevel over the next month, assume they are not correlate A.$0 $0.168million$49.832million $99.832million C is correct.考点Cret VaR解析首先算出来月化的P就是0.168%,那么expecteloss就等于0.168%*100%*(50+50)million=0.168 million。然后就要算WCL,两只债券违约的情况如下图可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。 Cret V就是50million-0.168million=49.832million。 此题我不太明白月化违约概率为什么?如果不用月化如何得出?我选对,但是数据跟答案不一样。

2023-07-16 15:53 1 · 回答

NO.PZ2020033002000084问题如下 If two bon eaha favalue of $ 50 million ana one-yecumulative fault probability of 2% with zero recovery rate. Whis its 99.9% cret vwith 99.9% confinlevel over the next month, assume they are not correlate A.$0 $0.168million$49.832million $99.832million C is correct.考点Cret VaR解析首先算出来月化的P就是0.168%,那么expecteloss就等于0.168%*100%*(50+50)million=0.168 million。然后就要算WCL,两只债券违约的情况如下图可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。 Cret V就是50million-0.168million=49.832million。 最后一列的概率咋算出来的?

2023-07-13 22:01 2 · 回答

NO.PZ2020033002000084 问题如下 If two bon eaha favalue of $ 50 million ana one-yecumulative fault probability of 2% with zero recovery rate. Whis its 99.9% cret vwith 99.9% confinlevel over the next month, assume they are not correlate A.$0 $0.168million $49.832million $99.832million C is correct.考点Cret VaR解析首先算出来月化的P就是0.168%,那么expecteloss就等于0.168%*100%*(50+50)million=0.168 million。然后就要算WCL,两只债券违约的情况如下图可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。 Cret V就是50million-0.168million=49.832million。 请问答案中,其中一个违约的概率计算中“ 2*0.00168*(1-0.00168)” 中为什么要开始乘2这里要求的是‘一个违约和另一个不违约的概率’,不是应该0.00168*(1-0.00168)吗? 求解

2023-02-02 21:54 1 · 回答