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金融民工阿聪 · 2021年05月04日

这里的correlation

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082405000035

问题如下：

Suppose a credit position has a correlation to the market factor of 0.5. What is the realized market value that is used to compute the probability of reaching a default threshold at the 99% confidence level?

选项：

A.

-0.2500.

B.

-0.4356.

C.

-0.5825.

D.

-0.6243.

解释：

D A default loss level of 0.01 corresponds to -2.33 on the standard normal distribution. The

realized market value is computed as follows:

{l}-2.33=（\frac{-2.33-（0.5）\overline m}{\sqrt{1-0.5^2}}）\\\overline m=-0.62430\end{array}\

这里的correlation默认就是β吗，这两个不是不一样么

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袁园_品职助教 · 2021年05月05日

同学你好！

beta就是 correlation to the market factor

袁园_品职助教 · 2021年05月07日

同学你好！

如果题目里这些都给你了，那我建议还是按照公式算一下

这道题目里只给了一个条件，所以我们理解他说的correlation to the market factor就是beta=0.5

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NO.PZ2016082405000035 Suppose a cret position ha correlation to the market factor of 0.5. Whis the realizemarket value this useto compute the probability of reaching a fault thresholthe 99% confinlevel? -0.2500. -0.4356. -0.5825. -0.6243. A fault loss level of 0.01 correspon to -2.33 on the stanrnormstribution. The realizemarket value is computefollows: {l}-2.33=（\frac{-2.33-（0.5）\overline m}{\sqrt{1-0.5^2}}）\\\overline m=-0.62430\enarray}\ 0.31215=−(0.5)m 这一步是怎么来的

2021-04-05 22:21 1 · 回答

NO.PZ2016082405000035 Suppose a cret position ha correlation to the market factor of 0.5. Whis the realizemarket value this useto compute the probability of reaching a fault thresholthe 99% confinlevel? -0.2500. -0.4356. -0.5825. -0.6243.  A fault loss level of 0.01 correspon to -2.33 on the stanrnormstribution. The realizemarket value is computefollows: l−2.33=−2.33−(0.5)m‾1−0.52−2.33(0.86603)=−2.33−(0.5)m‾0.31215=−(0.5)m‾−0.62430=m‾{l}-2.33=\frac{-2.33-(0.5)\overline m}{\sqrt{1-0.5^2}}\\-2.33{(0.86603)}=-2.33-{(0.5)}\overline m\\0.31215=-{(0.5)}\overline m\\-0.62430=\overline ml−2.33=1−0.52 ​−2.33−(0.5)m​−2.33(0.86603)=−2.33−(0.5)m0.31215=−(0.5)m−0.62430=m 请问解答过程中的l-2.33的l是什么意思？

2021-03-18 10:18 1 · 回答

Suppose a cret position ha correlation to the market factor of 0.5. Whis the realizemarket value this useto compute the probability of reaching a fault thresholthe 99% confinlevel? -0.2500. -0.4356. -0.5825. -0.6243.  A fault loss level of 0.01 correspon to -2.33 on the stanrnormstribution. The realizemarket value is computefollows: l−2.33=−2.33−(0.5)m‾1−0.52−2.33(0.86603)=−2.33−(0.5)m‾0.31215=−(0.5)m‾−0.62430=m‾{l}-2.33=\frac{-2.33-(0.5)\overline m}{\sqrt{1-0.5^2}}\\-2.33{(0.86603)}=-2.33-{(0.5)}\overline m\\0.31215=-{(0.5)}\overline m\\-0.62430=\overline ml−2.33=1−0.52 ​−2.33−(0.5)m​−2.33(0.86603)=−2.33−(0.5)m0.31215=−(0.5)m−0.62430=m 这讲的是哪一个知识点？ 在那一页ppt啊？

2020-10-11 13:44 1 · 回答

-0.4356. -0.5825. -0.6243.  A fault loss level of 0.01 correspon to -2.33 on the stanrnormstribution. The realizemarket value is computefollows: l−2.33=−2.33−(0.5)m‾1−0.52−2.33(0.86603)=−2.33−(0.5)m‾0.31215=−(0.5)m‾−0.62430=m‾{l}-2.33=\frac{-2.33-(0.5)\overline m}{\sqrt{1-0.5^2}}\\-2.33{(0.86603)}=-2.33-{(0.5)}\overline m\\0.31215=-{(0.5)}\overline m\\-0.62430=\overline ml−2.33=1−0.52 ​−2.33−(0.5)m​−2.33(0.86603)=−2.33−(0.5)m0.31215=−(0.5)m−0.62430=m k是α的临界分位点，α是服从一般正态分布的，为什么k是-2.33？

2020-09-25 10:01 1 · 回答