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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。

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努力的时光都是限量版,加油!

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