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张书记 · 2022年06月08日

WCL没看懂怎么求

  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 0.5% 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 0.5%（ 24+40）=32 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

请问WCL怎么因为谨慎性原则从44变成24了？

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已采纳答案

李坏_品职助教 · 2022年06月08日

嗨，努力学习的PZer你好：


首先题目说了A和B一起违约的概率是0.5%，那么A违约而B不违约的概率就是5%-0.5%=4.5%，同理，B违约而A不违约的概率是7%-0.5%=6.5%。


98%的置信度水平下，我们要去找2%的概率对应的损失阈值。A和B两个债券，仅有A违约的概率是4.5%，仅有B违约是6.5%，这俩概率都大于2%，根据谨慎性原则，两个债券选择其中损失较高的，也就是24million。

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努力的时光都是限量版，加油！

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