NO.PZ2020011303000129
问题如下:
A bank has a USD 100 million portfolio of loans with a PD of
0.75%. Assume a correlation parameter of 0.2.
The 99.9 percentile of the default rate given by the Vasicek model is 0.1201.
The recovery rate in the event of a default is 30%. What is the required regulatory capital?
选项:
解释:
题目问:接上一个题,如果recovery rate=30%,求要求的regulatory capital是多少?
This is in USD million: (0.1201-0.0075)×100×0.7=7.88
对V MODEL 感觉非常理论,请问在经济中或题目中主要怎么使用?谢谢