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:
请问这里题目中给出的不是correlation=0.5吗,为什么直接代入到beta=0.5呢?