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jjjzzz · 2020年03月14日

问一道题:NO.PZ2016082405000103

问题如下:

A portfolio consists of two bonds, Bonds A and B. The credit VaR for the portfolio is defined as the maximum loss due to defaults at a confidence level of 98% over a one-year horizon. The probability of joint default of the two bonds is 1.32%, and the default correlation is 35%. The bond value, default probability, and recovery rate are USD 1.2 million,4%, and 60%, respectively for Bond A, and USD $800,000, 5%, and 35%, respectively for Bond B. What is the expected credit loss for the portfolio?

选项:

A.

$45,200.

B.

$15,820.

C.

$42,800.

D.

$26,400.

解释:

A The joint expected credit loss is the sum of the two individual expected credit losses.

EL = PD x exposure x LGD

EL Bond A = $1,200,000 x 0.04 x 0.40 = $19,200

EL Bond B = $800,000 x 0.05 x 0.65 = $26,000

Total EL = $45,200

Note that expected credit loss does not depend on the correlation between the bonds.

expected credit loss不是credit loss么,不需要用wcl-el么

1 个答案

品职答疑小助手雍 · 2020年03月15日

同学你好,expected credit loss其实问的就是el,而不是credit var。

credit var用的是你写的那个wcl-el。