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我们 · 2020年05月11日

问一道题:NO.PZ2016082405000035

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:

A.

-0.2500.

B.

-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:

l2.33=2.33(0.5)m10.522.33(0.86603)=2.33(0.5)m0.31215=(0.5)m0.62430=m{l}-2.33=\frac{-2.33-(0.5)\overline m}{\sqrt{1-0.5^2}}\\-2.33{(0.86603)}=-2.33-{(0.5)}\overline m\\0.31215=-{(0.5)}\overline m\\-0.62430=\overline m

为啥不是2.33呢?为啥是负的呢

1 个答案

品职答疑小助手雍 · 2020年05月12日

嗨,努力学习的PZer你好:


公式如此,可以这么理解,累计概率从零开始,累计到1%的时候对应的从均值开始的距离就是-2.33个标准差。


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