问题如下:
Suppose a credit position has a correlation to the market factor of 0.5. What is the realized market value that is used to compute the probability of reaching a default threshold at the 99% confidence level?
选项: -0.2500.
-0.4356.
C.-0.5825.
D.-0.6243.
解释:
D A default loss level of 0.01 corresponds to -2.33 on the standard normal distribution. The
realized market value is computed as follows:
这里不是很懂,为什么X=-2.33,可以解释一下这个公式吗?谢谢