问一道题：NO.PZ2020033002000008 [ FRM II ]

NO.PZ2020033002000008 问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000 B.US21,400,000 C.US41,400,000 US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 如题

NO.PZ2020033002000008问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000B.US21,400,000C.US41,400,000US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 另外，一个发生违约另一个不违约概率是怎么求的？在不独立的情况下。谢谢

NO.PZ2020033002000008 问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000 B.US21,400,000 C.US41,400,000 US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 计算Cret VaR（也就是UL）有两个式子，如下为什么这题是用第一个WCL-ECL，而不是用第二个式子？明明题干也给出能够计算出UL1和UL2的条件了。

NO.PZ2020033002000008问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000B.US21,400,000C.US41,400,000US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 算其中一个违约另一个不违约的概率可以直接减吗？和他们之间的correlation没关系吗，只要两个相关 就可以直接减吗

NO.PZ2020033002000008问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000B.US21,400,000C.US41,400,000US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 98%的WCL应该比95.5%的损失24更大才对吧？为什么取了个小数值的24？