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roger_yu119 · 2018年04月15日

问一道题:NO.PZ2016082406000083

请问答案看不太懂,怎么算出99.9%的var的?

问题如下图:

    

选项:

A.

B.

C.

D.

解释:



2 个答案
已采纳答案

orange品职答疑助手 · 2018年04月15日

同学你好,此题就是离散情况下算CVAR的思路。CVaR=WCL-ECL。月化PD同学你肯定没问题,ECL肯定也没问题。

答案解析中的CLi就相当于是WCL,如果WCL=0的话,P(损失小于等于0)=99.83%,不大于99.9%,所以0不符合。如果WCL=1,000,000的话,P(损失小于等于1,000,000)=100%,大于99.9%,所以WCL=1,000,000。

loss Prob
0 99.83%
1,000,000 0.17%

最后再减去ECL就行了。

orange品职答疑助手 · 2018年04月19日

不好意思刚看见。答案里月化的PD也就是d算出来了,那么没违约也就是0损失的概率就是1-d=99.83%呀

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NO.PZ2016082406000083 $1,682 $998,318 $0 ANSWER: C First, we have to transform the annufault probability into a monthly probability. Using (1−2%)=(1−12{(1-2\%)}={(1-}^{12}(1−2%)=(1−12, we fin0.00168, whiassumes a constant probability of fault ring the year. Next, we compute the expectecret loss, whiis $1,000,000=$1,682times\$1,000,000=\$1,682$1,000,000=$1,682. Finally, we calculate the Wthe 99.9% confinlevel, whiis the lowest number \(CL_i\)suthP(CL≤CLi)≥99.9%P{(CL\leq CL_i)}\geq99.9\%P(CL≤CLi​)≥99.9%. We have P(CL=0)=99.83%P{(CL=0)}=99.83\%P(CL=0)=99.83%; P(CL≤1,000,000)=100.00%P{(CL\leq1,000,000)}=100.00\%P(CL≤1,000,000)=100.00%. Therefore, the Wis $1,000,000, anthe CVis $1,000,000−$1,682=$998,318\$1,000,000-\$1,682=\$998,318$1,000,000−$1,682=$998,318.不记得课上有提到过这个计算,可以具体讲一下吗?然后对应讲义具体的哪个部分?

2021-04-10 08:23 1 · 回答

A risk analyst is trying to estimate the cret Vfor a risky bon The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume ththe bonis value$1,000,000 one month forwar anthe one-yecumulative fault probability is 2% for this bon Whis the best estimate of the cret Vfor the bon assuming no recovery? $20,000 $1,682 $998,318 $0 ANSWER: C First, we have to transform the annufault probability into a monthly probability. Using (1−2%)=(1−12{(1-2\%)}={(1-}^{12}(1−2%)=(1−12, we fin0.00168, whiassumes a constant probability of fault ring the year. Next, we compute the expectecret loss, whiis $1,000,000=$1,682times\$1,000,000=\$1,682$1,000,000=$1,682. Finally, we calculate the Wthe 99.9% confinlevel, whiis the lowest number \(CL_i\)suthP(CL≤CLi)≥99.9%P{(CL\leq CL_i)}\geq99.9\%P(CL≤CLi​)≥99.9%. We have P(CL=0)=99.83%P{(CL=0)}=99.83\%P(CL=0)=99.83%; P(CL≤1,000,000)=100.00%P{(CL\leq1,000,000)}=100.00\%P(CL≤1,000,000)=100.00%. Therefore, the Wis $1,000,000, anthe CVis $1,000,000−$1,682=$998,318\$1,000,000-\$1,682=\$998,318$1,000,000−$1,682=$998,318. 老师如果题目叫你求得CVAR是小于99.83%,P(loss≤0)=99.83%,那么WCL=0,了嘛,CVAR=-EL

2020-10-14 10:23 1 · 回答

$1,682 $998,318 $0 ANSWER: C First, we have to transform the annufault probability into a monthly probability. Using (1−2%)=(1−12{(1-2\%)}={(1-}^{12}(1−2%)=(1−12, we fin0.00168, whiassumes a constant probability of fault ring the year. Next, we compute the expectecret loss, whiis $1,000,000=$1,682times\$1,000,000=\$1,682$1,000,000=$1,682. Finally, we calculate the Wthe 99.9% confinlevel, whiis the lowest number \(CL_i\)suthP(CL≤CLi)≥99.9%P{(CL\leq CL_i)}\geq99.9\%P(CL≤CLi​)≥99.9%. We have P(CL=0)=99.83%P{(CL=0)}=99.83\%P(CL=0)=99.83%; P(CL≤1,000,000)=100.00%P{(CL\leq1,000,000)}=100.00\%P(CL≤1,000,000)=100.00%. Therefore, the Wis $1,000,000, anthe CVis $1,000,000−$1,682=$998,318\$1,000,000-\$1,682=\$998,318$1,000,000−$1,682=$998,318.老师,我看了所有问题的回答还是没没明白99.83%是怎么算出来的还有怎么得出WCL是1,000,000。可以把讲义里这部分的内容帮忙粘贴一下吗?实在是很难和讲义对应上。

2020-09-20 16:51 1 · 回答

A risk analyst is trying to estimate the cret Vfor a risky bon The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume ththe bonis value$1,000,000 one month forwar anthe one-yecumulative fault probability is 2% for this bon Whis the best estimate of the cret Vfor the bon assuming no recovery? $20,000 $1,682 $998,318 $0 ANSWER: C First, we have to transform the annufault probability into a monthly probability. Using (1−2%)=(1−12{(1-2\%)}={(1-}^{12}(1−2%)=(1−12, we fin0.00168, whiassumes a constant probability of fault ring the year. Next, we compute the expectecret loss, whiis $1,000,000=$1,682times\$1,000,000=\$1,682$1,000,000=$1,682. Finally, we calculate the Wthe 99.9% confinlevel, whiis the lowest number \(CL_i\)suthP(CL≤CLi)≥99.9%P{(CL\leq CL_i)}\geq99.9\%P(CL≤CLi​)≥99.9%. We have P(CL=0)=99.83%P{(CL=0)}=99.83\%P(CL=0)=99.83%; P(CL≤1,000,000)=100.00%P{(CL\leq1,000,000)}=100.00\%P(CL≤1,000,000)=100.00%. Therefore, the Wis $1,000,000, anthe CVis $1,000,000−$1,682=$998,318\$1,000,000-\$1,682=\$998,318$1,000,000−$1,682=$998,318. 老师问个弱弱的问题 这个历史法计算都是假设是贝努力分布嘛 比如三个债券 PA=0.05 PB=0.1 PC=0.2 假设AB违约C不违约的概率0.05*0.1*(1-0.2) 既然是贝努力为啥不是3C2*0.05*0.01*(1-0.2)呢。 我的意思为啥不用C那个公式算? 什么情况才会用到C那个公式算?

2020-08-17 00:23 2 · 回答

A risk analyst is trying to estimate the cret Vfor a risky bon The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume ththe bonis value$1,000,000 one month forwar anthe one-yecumulative fault probability is 2% for this bon Whis the best estimate of the cret Vfor the bon assuming no recovery? $20,000 $1,682 $998,318 $0 ANSWER: C First, we have to transform the annufault probability into a monthly probability. Using (1−2%)=(1−12{(1-2\%)}={(1-}^{12}(1−2%)=(1−12, we fin0.00168, whiassumes a constant probability of fault ring the year. Next, we compute the expectecret loss, whiis $1,000,000=$1,682times\$1,000,000=\$1,682$1,000,000=$1,682. Finally, we calculate the Wthe 99.9% confinlevel, whiis the lowest number \(CL_i\)suthP(CL≤CLi)≥99.9%P{(CL\leq CL_i)}\geq99.9\%P(CL≤CLi​)≥99.9%. We have P(CL=0)=99.83%P{(CL=0)}=99.83\%P(CL=0)=99.83%; P(CL≤1,000,000)=100.00%P{(CL\leq1,000,000)}=100.00\%P(CL≤1,000,000)=100.00%. Therefore, the Wis $1,000,000, anthe CVis $1,000,000−$1,682=$998,318\$1,000,000-\$1,682=\$998,318$1,000,000−$1,682=$998,318. 为什么会有WCL=0 的这个假设 P(CL=0) =99.83%, 所以只有可能等于1682 和0这两个可能性?这个地方没有看懂

2020-03-21 16:20 1 · 回答