NO.PZ2020011303000127
问题如下:
A USD 1million loan has a probability of 0.5% of defaulting in a year. The recovery
rate is estimated to be 40%.
The expected loss in USD is 0.003. This is USD 3,000.
The variance of the loss is 0.001791. The standard deviation is the square root of this, or USD 0.04232 million. This is USD 42,320.
Suppose that there are three USD 1 million loans. The correlation between any pair of the loans is 0.2. What is the mean and standard deviation of the portfolio credit loss?
解释:
The expected loss on the three loans is three times the expected loss on one loan
3 × 0.001791+ 6 × 0.001791 × 0.2 = 0.007522
The standard deviation of the portfolio loss is the square root of this or USD
三个一样的组合的话,公式前一半不是w²σ²×3嘛,每个的w都是三分之一,那就算出来和答案差了九分之一了,这是为什么咧