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Colin · 2021年11月17日

审慎性原则：分位点在中间时不是应该取左边的吗？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000008

问题如下：

There is a bond portfolio consisted with two bonds. bond A and bond B .The values of bond A and bond B are $60 millions and $40 millions respectively. The one-year probabilities of default and the recovery rate of bond A are 5% and 60% respectively, while for bond B are 7% and 50%. Calculate the one-year expected credit loss of this portfolio. Give an assumption that the probability of joint default is 0.7% and the default correlation is 20%.

what is the best estimate of the credit VaR at a 98% confidence level?

选项：

A.

USD 17,400,000

B.

USD 21,400,000

C.

USD 41,400,000

D.

USD 44,000,000

解释：

B is correct.

考点：Credit VaR

解析：

Bond A 违约的损失是60*（1-60%）=24 million

Bond B违约的损失是40*（1-50%）=20million

A、 B同时违约的概率是 0.7% 24+40=44 million

Bond A 违约但是bond B不违约的概率是 5%-0.5%=4.5%

Bond B违约但是bond A不违约的概率是7%-0.5%=6.5%

根据谨慎性原则 98% confidence WCL=24million

credit VaR=24-2.6=21.4 million

这道题的解释和老师上课的解释不太一样

例：视频Credit Risk Portfolio Models-CreditRisk+, CreditMetrics 7分钟讲的这道题


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1 个答案

品职答疑小助手雍 · 2021年11月18日

同学你好，wcl取的就是第一个超过累计概率XX时的损失值（也可以看成是累计概率99%或本题的98%处于那个损失值占据的区间），课上超过累计概率99%的第一个数值是106-98.10，这题里是累计概率超过98%时候，第一个数值是24。没有矛盾。

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