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gongyin · 2021年09月10日

one-year expected credit loss of this portfolio

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000007

问题如下：

There is a bond portfolio consisted with two bonds. bond A and bond B .The values of bond A and bond B are $60 millions and $40 millions respectively. The one-year probabilities of default and the recovery rate of bond A are 5% and 60% respectively, while for bond B are 7% and 50%. Calculate the one-year expected credit loss of this portfolio. Give an assumption that the probability of joint default is 0.7% and the default correlation is 20%.

选项：

A.

$ 1,200,000

B.$ 1,400,000

C.$ 2,600,000

D.$ 3,270,000

解释：

C is correct.

考点： Credit VaR

计算： EL(A)=60*0.05*(1-0.4)=1.2m

EL(B)=40*0.07*(1-0.5)=1.4m

1.2+1.4=2.6m

跟correlation 没有关系

课程哪里有说到和correlation没有关系？求指路

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DD仔_品职助教 · 2021年09月11日

嗨，努力学习的PZer你好：


同学你好~

这个题和老师上课讲的例题思路一样，存在joint PD其实就代表有违约correlation，违约不独立。这个在基础班讲义88页，视频section 4 summary of credit VaR，有空可以再听下，只有10mins，题如下图。

题目是在求expected loss，是期望的概念，直接概率*loss加总就可以啦。

是在求组合σ要用到correlation，同学不要搞混了。

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NO.PZ2020033002000007 问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Calculate the one-yeexpectecret loss of this portfolio. Give assumption th the probability of joint fault is 0.7% anthe fault correlation is 20%. $ 1,200,000 B.$ 1,400,000 C.$ 2,600,000 $ 3,270,000 C is correct.考点 Cret VaR计算 EL(A)=60*0.05*(1-0.6)=1.2m EL(B)=40*0.07*(1-0.5)=1.4m 1.2+1.4=2.6m 跟correlation 没有关系 没太明白这里为什么可以忽略相关性。更准确的算法是不是应该如下已知A违约5%B违约7%A且B违约0.7%所以可以算出A违约B不违约=5%-0.7%=4.3%B违约A不违约=7%-0.7%=6.3%然后再去计算expecteloss

2024-11-12 17:06 2 · 回答

NO.PZ2020033002000007 问题如下 There is a bonportfolio consistewith two bon. bonA anbonB .The values of bonA anbonB are $60 millions an$40 millions respectively. The one-yeprobabilities of fault anthe recovery rate of bonA are 5% an60% respectively, while for bonB are 7% an50%. Calculate the one-yeexpectecret loss of this portfolio. Give assumption th the probability of joint fault is 0.7% anthe fault correlation is 20%. $ 1,200,000 B.$ 1,400,000 C.$ 2,600,000 $ 3,270,000 C is correct.考点 Cret VaR计算 EL(A)=60*0.05*(1-0.4)=1.2m EL(B)=40*0.07*(1-0.5)=1.4m 1.2+1.4=2.6m 跟correlation 没有关系 对于A来说，应该是1-60% =40% 而不是1-40%

2023-09-09 16:31 1 · 回答