NO.PZ2016082405000105
问题如下:
Suppose a portfolio has a value of $1,000,000 with 50 independent credit positions. Each position has the same amount of $20,000. Each of the credits has a default probability of 2% and a recovery rate of 0%. The credit portfolio has a default correlation equal to 0. The number of defaults is binomially distributed and the 95th percentile of the number of defaults is 3. What is the credit value at risk at the 95% confidence level for this credit portfolio?
选项:
A. $20,000.
B. $40,000.
C. $60,000.
D. $980,000.
解释:
B The loss given default is $60,000 [3 x ($1,000,000 I 50)]. The expected loss is equal to the portfolio value times and is $20,000 (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 95% confidence level, the credit VaR is equal to $40,000 ($60,000 minus the expected loss of $20,000).
我的理解应该是50*95%+1=3.5,其实应该是有四个损失吧。