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雪泥er · 2021年10月15日

看不到解题过程的图片

  1. FRM II
  2. Credit Risk Measurement And Management

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。

解题过程的图片看不到，请更新一下谢谢

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1 个答案

品职答疑小助手雍 · 2021年10月15日

同学你好，谢谢指出，已经跟后台反馈了。

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