开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？
添加评论
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）

  • 1

    回答

  • 0

    关注

  • 465

    浏览
相关问题

NO.PZ2016082406000084 A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. ​怎么用年度违约概率求出月度的违约概率？

2021-02-28 14:33 1 · 回答

A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 请问，这个组合的EL难道不是固定的，为什么会随着不同的情况变化？因为这两个bon没有fault correlation的，然后直接看成一个100万的bon可以吗？直接求EL

2020-08-30 20:54 1 · 回答

A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 那么这题为什么不选C答案呢，按照反推法，根据谨慎性的原则，最大的损失不是1M么

2020-08-29 13:39 1 · 回答

A risk analyst is trying to estimate the cret Vfor a portfolio of two risky bon. The cret Vis finethe maximum unexpecteloss a confinlevel of 99.9% over a one-month horizon. Assume theabonis value$500,000 one month forwar anthe one-yecumulative fault probability is 2% for eaof these bon. Whis the best estimate of the cret Vfor this portfolio, assuming no fault correlation anno recovery? $841 $1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 请问答案中的图表是怎么计算出来的？没有看懂啊

2020-04-28 10:38 1 · 回答