问题如下：
Suppose a portfolio has a value of $1,000,000 with 50 independent credit positions. Each position has the same amount of $20,000. Each of the credits has a default probability of 2% and a recovery rate of 0%. The credit portfolio has a default correlation equal to 0. The number of defaults is binomially distributed and the 95th percentile of the number of defaults is 3. What is the credit value at risk at the 95% confidence level for this credit portfolio?
选项：
A.$20,000.
B.$40,000.
C.$60,000.
D.$980,000.
解释：
B The loss given default is $60,000 [3 x ($1,000,000 I 50)]. The expected loss is equal to the portfolio value times and is $20,000 (0.02 x $1,000,000). The credit VaR is defined as the quantile of the credit loss less the expected loss of the portfolio. At the 95% confidence level, the credit VaR is equal to $40,000 ($60,000 minus the expected loss of $20,000).
老师严格一点讲这个题应该是用HS的方法计算吧
先用贝努力算一下0个违约、1个违约、2个违约、3个违约的累积概率，发现2个违约的概率是91.8%，3个违约的概率是97.6%；所以谨慎性原则，95%取3个，LDG=1。所以WCL=3*20000=60000，EL=20000，CR=-40000
什么情况下可以简化成 50*5%=2.5≈3，直接用这个方法算WCL呢？还是都可以这么算，不用求累计概率
