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韩瞳瞳 · 2021年04月04日

问一道题：NO.PZ2016082406000084 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A risk analyst is trying to estimate the credit VAR for a portfolio of two risky bonds. The credit VAR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that each bond is valued at $500,000 one month forward, and the one-year cumulative default probability is 2% for each of these bonds. What is the best estimate of the credit VAR for this portfolio, assuming no default correlation and no recovery?

选项：

A.

$841

B.

$1,682

C.

$998,318

D.

$498,318

解释：

ANSWER: D

As in the previous question, the monthly default probability is 0.00168. The following table shows the distribution of credit losses.

This gives an expected loss of $1,682, the same as before. Next, $500,000 is the WCL at a minimum 99.9% confidence level because the total probability of observing a number equal to or lower than this is greater than 99.9%. The credit VAR is then $500,000 - $1,682 = $498,318.

为什么WCL是500,000.00？
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1 个答案

小刘_品职助教 · 2021年04月05日

同学你好，

因为题目求的是99.9%confidence level下的 credit VaR，根据谨慎性原则，要看的是累积概率第一个超过99.9%的数，就是1个bond违约时候的50万。（此时累计概率为0.9999718）

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