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徐威廉 · 2024年10月26日

这个credit VaR的计算公式

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024042601000042

问题如下：

At the beginning of the year, a firm bought an AA-rated corporate bond at USD 110 per USD 100 face value. Using market data, the risk manager estimates the following year-end values for the bond based on interest rate simulations informed by the economics team:

In addition, the risk manager estimates the 1-year transition probabilities on the AA-rated corporate bond:

What is the 1-year 95% credit VaR per USD 100 of face value closest to?

选项：

A.

USD 9

B.

USD 18

C.

USD 30

D.

USD 36

解释：

The 95% credit VaR corresponds to the unexpected loss at the 95th percentile minus the expected loss, or the expected future value at the 95% loss percentile minus the current value. Using the probabilities in the given ratings transition matrix, the 95% percentile corresponds to a downgrade to BBB, at which the value of the bond would be estimated at 101. Since cash flows for the bond are not provided, we cannot derive the precise expected and unexpected losses, but the credit VaR (the difference) is easily derived by subtracting the estimated value given a BBB rating from the current value. 95% credit VaR = 110 – 101 = 9.

这个credit VaR的计算公式应该是 CVaR = WCL-EL啊，这题怎么是 UL-EL？

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pzqa27 · 2024年10月29日

嗨，努力学习的PZer你好：


the unexpected loss at the 95th percentile这里指的就是WCL啊，95%分位点对应的损失，这个损失不是预期的，所以是一种非预期损失。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

徐威廉 · 2024年10月30日

Unexpected Loss不就是 credit var吗？ 为什么不写Worst case Loss？

pzqa27 · 2024年10月30日

嗨，从没放弃的小努力你好：


这个是不同人用的不同表述罢了，你知道Credit VaR=WCL- EL就可以了，这个表述并不影响做题。反正最后WCL也是选到BBB债券。

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加油吧，让我们一起遇见更好的自己！

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