NO.PZ2020033002000085
问题如下：
Durian Bank's risk control manager is using Creditrisk + to calculate the bank's 1% credit var. Durian Bank now has two large loans, one is 20 million US dollars, the other is 30 million US dollars, the two are not correlated. Which of the following conclusions about credit var is wrong?
I.Both VaR and WCL could be equal to zero.
II.Expected loss could exceed VaR
III.Expected loss is always smaller than the VAR.
选项：
A.I and III
B.I ONLY
C.I and II.
D.III.解释：
D is correct.
考点：Credit VaR
解析：比如两笔贷款的违约概率都是0.5%，两者联立的不违约概率是0.995*0.995等于99.0025%。此时99%的credit var等于0。worst case loss也是0。而expected loss不为零，比var和wcl大。
哈喽老师~
题我做对了。。解析给看懵逼了。。。
比如两笔贷款的违约概率都是0.5%，两者联立的不违约概率是0.995*0.995等于99.0025%。（没毛病）
此时99%的credit var等于0。worst case loss也是0。
（从上一句话能推出来的不得是WCL = 0吗？Credit VaR 不得用WCL - EL得到的吗？怎么Credit VaR先给安排出来了？）
而expected loss不为零，比var和wcl大。
【我做前面几道题还有听老师讲课的意思都是先安排WCL和EL 然后俩人一减就算出来Credit VaR对吧】
