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臧小玉 · 2022年03月09日

关于0.5%

  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

为什么计算单一违约的时候，用A或B的违约概率减去0.5%？这个0.5%是哪里算来的呢

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1 个答案

李坏_品职助教 · 2022年03月09日

嗨，爱思考的PZer你好：


同学你好~

答案应该是写错了，一起违约就是joint prob=0.7%


按照题干的条件，只有A违约的概率=5%-0.7%=4.3%，只有B违约的概率=7%-0.7%=6.3%

但是答案结果不变，还是21.4m。这个问题我会立刻反馈给后台的同事，谢谢提醒！

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