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Catherine · 2023年08月04日

这个题给出的correlation是什么意思

  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%. 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%

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

算其中一个违约另一个不违约的概率可以直接减吗？和他们之间的correlation没关系吗，只要两个相关 就可以直接减吗

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1 个答案

pzqa27 · 2023年08月04日

嗨，努力学习的PZer你好：


这跟correlation没有关系啊，回顾下1级数量的内容，事件A发生概率记作P（A），事件B发生概率是P（B），A和B同时发生概率记作P（AB），那么A事件发生并且B不发生的概率不就是P（A）-P（AB）嘛

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