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zjcjrd · 2020年03月04日

问一道题:NO.PZ2016082406000008 [ FRM II ]

问题如下:

Continuing with the previous question, what is the best estimate of the unexpected credit loss (away from the ECL), or credit VAR, for this portfolio?

选项:

A.

USD 570,000

B.

USD 400,000

C.

USD 360,000

D.

USD 370,000

解释:

ANSWER: D

Here, the joint default probability matters. If the two bonds default, the loss is$1,000,000×(160%)+$600,000×(140%)=$400,000+$360,000=$760,000\$1,000,000\times\left(1-60\%\right)+\$600,000\times\left(1-40\%\right)=\$400,000+\$360,000=\$760,000. This will happen with probability 1.27%. The next biggest loss is $400,000, which has probability of 3.001.27 = 1.73%3.00-1.27\text{ }=\text{ }1.73\%. Its cumulative probability must be 100.001.27=98.73%100.00-1.27=98.73\%. This is slightly above 98%, so $400,000 is the quantile at the 98% level of confidence or higher. Subtracting the mean gives $370,000.

这里好像有个bug,题目问我根据上一题来计算,上一题的题干我都看不到…
1 个答案

orange品职答疑助手 · 2020年03月04日

同学你好,上一题应该是这道题: