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. This will happen with probability 1.27%. The next biggest loss is $400,000, which has probability of . Its cumulative probability must be . 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…