NO.PZ2024042601000043
问题如下：
A credit analyst at an investment firm is estimating the 99% credit VaR of a 1-year zero-coupon bond, the only debt issued by the firm. The analyst obtains relevant data presented below:
• Face value of the firm’s 1-year zero-coupon bond: CNY 630 million
• The bond’s expected 1-year probability of default (PD): 6%
• The bond’s 1-year recovery rate: 90%
Assuming the variation of the future value of the bond is solely due to the possibility of default, and the analyst’s estimate of the value of the bond in 1 year at the 99% confidence level is CNY 567 million, what is the bond’s implied 1-year 99% credit VaR?
选项：
A.
CNY 2.52 million
B.
CNY 3.40 million
C.
CNY 3.78 million
D.
CNY 6.30 million
解释：
A is correct.
The 99% CVaR = 99th percentile of the unrecovered credit loss – Expected Loss where,
99th percentile of the unrecovered credit loss = (630 – 567)*(1 – 0.9) million = CNY 6.3 million
Expected Loss = PD x LGD x EAD = 0.06* (1 – 0.9) * 630 = CNY 3.78 million
Therefore,
CVaR at 99% confidence level = 6.30 – 3.78 = CNY 2.52 million.
B is incorrect. CNY 3.402 million is the result of subtracting CNY 3.78*0.1 million from (CNY 630m*0.06*0.1).
C is incorrect. CNY 3.78 million is the EL.
D is incorrect. CNY 6.3 million is the incorrect result of ignoring the EL.
EL的ead为什么不用567而是用630
