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: -0.2500.
-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