问一道题：NO.PZ2016082405000033

问题如下：

Suppose a portfolio has a notional value of $1,000,000 with 20 credit positions. Each of the credits has a default probability of 2% and a recovery rate of zero. Each credit position in the portfolio is an obligation from the same obligor, and therefore, the credit portfolio has a default correlation equal to 1. What is the credit value at risk at the 99% confidence level for this credit portfolio?

选项：

$0.

$1,000.

$20,000.

$980,000. 

解释：

D With the default correlation equal to l, the portfolio will act as if there is only one credit. Viewing the portfolio as a binomial distributed random variable, there are only two possible outcomes for a portfolio acting as one credit. The portfolio has a 2% probability of total loss and a 98% probability of zero loss. Therefore, with a recovery rate of zero, the extreme loss given default is $1,000,000. The expected loss is equal to the portfolio value times π and is $20,000 in this example (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 99% confidence level, the credit VaR is equal to $980,000 ($1,000,000 minus the expected loss of $20,000).