问题如下图：
选项：
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B. 
C. 
D. 
解释：
1.一个债券违约概率求法为什么是2d*(1-d)?
2.一个债券违约概率是0.33%，1-0.33%>99.9%，基于谨慎原则，WCL应该是2个bond都违约的情况，为什么答案选的是1个债权违约的情况？违反谨慎性原则
$1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 为什么WCL是500,000.00？
NO.PZ2016082406000084 A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 怎么用年度违约概率求出月度的违约概率？
A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 请问，这个组合的EL难道不是固定的，为什么会随着不同的情况变化？因为这两个bon没有fault correlation的，然后直接看成一个100万的bon可以吗？直接求EL
A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 那么这题为什么不选C答案呢，按照反推法，根据谨慎性的原则，最大的损失不是1M么
A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 请问答案中的图表是怎么计算出来的？没有看懂啊
