NO.PZ2020033003000035
问题如下:
Assume an investor has a credit position that has a market factor sensitivity of 0.4 and the
default threshold is at the 95% confidence level. According to the information above, what is
the realized market value used to reach this threshold
?
选项:
A.-0.257.
B.-0.379.
C.-0.512.
D.-0.343
解释:
D is correct.
考点: Single Factor Model
解析:95%对应的confidence level也就是5%的default loss level在标准正态分布里对应-1.645。
通过单因素模型:
可以解出m是-0.343。
老师default threshold is at the 95% confidence level,说的是95%置信水平那也没有说是单尾啊,又不是在衡量VaR