如果说违约概率特别低，WCL又是零，那么Var=WCL-EL岂不是为负数了？

NO.PZ2016082406000085 The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR.请问为什么这里大于99%，WCL就等于0呢

You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. 没有看懂这个题目的，麻烦能再一下吗？

You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. 请教下老师，这道题可以从正态分布的var满足资可加性这条性质解答吗？

You are the cret risk manager for Bank Happy. Bank Happy hol Treasuries for US500 million: one large lothha positive probability of fault for US400 million ananother lothha positive probability of fault for US100 million. The faults are uncorrelate The bank computes a cret V1% using CretRisk+. Whiof the following statements ma about the Vthe analyst who works for you is necessarily wrong? The Vor Wcequto zero. The expecteloss on the portfolio excee the VAR. The expecteloss on the portfolio is necessarily smaller ththe VAR. None of the above statements is wrong. ANSWER: C The cret Vcoulzero. For instance, assume ththe Pis 0.003. The joint probability of no fault is then (1−0.003)(1−0.003)=99.4%{(1-0.003)}{(1-0.003)}=99.4\%(1−0.003)(1−0.003)=99.4%. Because this is greater ththe 99% confinlevel, the worst loss is zero. The expecteloss, however, woul0.3% assuming zero recovery, whiis greater thVAR. BC两个怎么理解呢？UL=VaR=WCL-EL 怎么只从EL就能判断呢？