问题如下：
A portfolio consists of two bonds. The credit VAR 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 1.27%, and the default correlation is 30%. The bond value, default probability, and recovery rate are USD 1,000,000, 3%, and 60% for one bond, and USD 600,000, 5%, and 40% for the other. what is the best estimate of the unexpected credit loss (away from the ECL), or credit VAR, for this portfolio?
选项：
A. USD 570,000
B. USD 400,000
C. USD 360,000
D. USD 370,000
解释：
ANSWER: D
Here, the joint default probability matters. If the two bonds default, the loss is.
This will happen with probability 1.27%. The next biggest loss is $400,000, which has probability of 3.00%-1.27%=1.73%
Its cumulative probability must be . This is slightly above 98%, so $400,000 is the quantile at the 98% level of confidence or higher. Subtracting the mean gives $370,000.
请问第二大损失400000发生的概率是如何推导的？
