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。
你好，我看了答案解释有一点疑问如下：
如果两笔的PD都是0.5%，那么99%的WCL确实不是两笔都违约的情形（20+30），而是一笔违约一笔不违约了吧？WCL应该是30而不是0？
