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上小学 · 2023年07月16日

请问违约概率月化如何应用?如何计算?

NO.PZ2020033002000084

问题如下:

If two bonds each has a face value of $ 50 million and a one-year cumulative default probability of 2% with zero recovery rate. What is its 99.9% credit var with 99.9% confidence level over the next month, assume they are not correlated?

选项:

A.

$0

B.

$0.168million

C.

$49.832million

D.

$99.832million

解释:

C is correct.

考点:Credit VaR

解析:首先算出来月化的PD也就是0.168%,那么expected loss就等于0.168%*100%*(50+50)million=0.168 million。

然后就要算WCL,两只债券违约的情况如下图:

可以看到50million是第一个累计概率超过99.9%的损失,所以WCL就等于50million。

Credit VaR 就是50million-0.168million=49.832million。

此题我不太明白月化违约概率为什么?如果不用月化如何得出?我选对,但是数据跟答案不一样。

1 个答案
已采纳答案

pzqa27 · 2023年07月17日

嗨,努力学习的PZer你好:


此题我不太明白月化违约概率为什么

因为题目问的是What is its 99.9% credit var with 99.9% confidence level over the next month. 而题目给的违约率却是1年的违约率,所以需要算出每个月的违约率

如果不用月化如何得出?

题目问的是下个月的VaR,肯定要算下每个月的违约率

如何计算?

简单计算的话就是2%/12,近似得0.167

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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