葫芦娃吃生菜 · 2025年03月24日
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。
NO.PZ2020033003000035问题如下 Assume investor ha cret position thha market factor sensitivity of 0.4 anthefault thresholis the 95% confinlevel. Accorng to the information above, whisthe realizemarket value useto reathis threshol? -0.257. -0.379. -0.512. -0.343 is correct.考点 Single Factor Mol解析95%对应的confinlevel也就是5%的fault loss level在标准正态分布里对应-1.645。通过单因素模型 −1.645=−1.645−0.4×m1−0.42 -1.645=\frac{-1.645-0.4\times m}{\sqrt{1-0.4^2}}−1.645=1−0.42−1.645−0.4×m可以解出m是-0.343。 这道题怎么理解，一下，这个计算的公式怎么来的😂
NO.PZ2020033003000035问题如下 Assume investor ha cret position thha market factor sensitivity of 0.4 anthefault thresholis the 95% confinlevel. Accorng to the information above, whisthe realizemarket value useto reathis threshol? -0.257. -0.379. -0.512. -0.343 is correct.考点 Single Factor Mol解析95%对应的confinlevel也就是5%的fault loss level在标准正态分布里对应-1.645。通过单因素模型 −1.645=−1.645−0.4×m1−0.42 -1.645=\frac{-1.645-0.4\times m}{\sqrt{1-0.4^2}}−1.645=1−0.42−1.645−0.4×m可以解出m是-0.343。 这道题怎么理解，一下，这个计算的公式怎么来的😂
NO.PZ2020033003000035 问题如下 Assume investor ha cret position thha market factor sensitivity of 0.4 anthefault thresholis the 95% confinlevel. Accorng to the information above, whisthe realizemarket value useto reathis threshol? -0.257. -0.379. -0.512. -0.343 is correct.考点 Single Factor Mol解析95%对应的confinlevel也就是5%的fault loss level在标准正态分布里对应-1.645。通过单因素模型 −1.645=−1.645−0.4×m1−0.42 -1.645=\frac{-1.645-0.4\times m}{\sqrt{1-0.4^2}}−1.645=1−0.42−1.645−0.4×m可以解出m是-0.343。 老师fault thresholis the 95% confinlevel，说的是95%置信水平那也没有说是单尾啊，又不是在衡量VaR
NO.PZ2020033003000035 问题如下 Assume investor ha cret position thha market factor sensitivity of 0.4 anthefault thresholis the 95% confinlevel. Accorng to the information above, whisthe realizemarket value useto reathis threshol? -0.257. -0.379. -0.512. -0.343 is correct.考点 Single Factor Mol解析95%对应的confinlevel也就是5%的fault loss level在标准正态分布里对应-1.645。通过单因素模型 −1.645=−1.645−0.4×m1−0.42 -1.645=\frac{-1.645-0.4\times m}{\sqrt{1-0.4^2}}−1.645=1−0.42−1.645−0.4×m可以解出m是-0.343。 老师您好，请问k为什么是-得1.645呢还有k为什么等于p(m),没太看明白。能麻烦老师讲细一点吗？谢谢谢谢
