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NO.PZ2024042601000008

问题如下：

A credit analyst at a bank is asked to estimate the credit VaR (CVaR) for three loans in the bank's credit portfolio. The analyst assembles the following loan information.

In addition, the annual probability of default (PD) based on loan rating and maturity is provided in the table below：

Assuming the 95th percentile of the unrecovered credit loss for the three loans are the same, which of the following is correct about the comparison of the 95% CvaR of the loans?

选项：

CvaR of Loan S > CvaR of Loan U > CvaR of Loan T

CvaR of Loan T > CvaR of Loan U > CvaR of Loan S

CvaR of Loan T > CvaR of Loan S > CvaR of Loan U

CvaR of Loan U > CvaR of Loan S > CvaR of Loan T

这题怎么算有过程吗

嗨，爱思考的PZer你好：

CVAR = WCL - ECL

本题告诉我们 95th percentile of the unrecovered credit loss是一样的，所以这三个贷款在95%的置信度下的WCL相等。接下来需要求出三个贷款的ECL。

根据讲义的公式：

公式里的1-RR就是loss given default。

注：SP评级的标准里面，AAA，AA，A，BBB都是investment grade，其他都是non-investment grade。

S贷款是BBB评级，这个属于investment grade，而且期限是2年，所以PD是1.5%，所以贷款S的ECL = 1.5% * 0.8 * 55000000 = 660,000

T贷款是BB-评级，这个属于non-investment grade，而且期限是3年，所以PD是12%，所以贷款T的ECL = 12%*0.9*36000000=3,888,000

U贷款是A评级，是investment grade，期限是4年，所以PD是3.5%，所以贷款U的ECL = 3.5%*0.7*50000000=1,225,000

T的ECL ＞U的ECL ＞ S的ECL，而三个贷款的WCL是相等的，所以S的CVAR最大，U的CVAR其次，T的CVAR最小。

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