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noemie · 2021年10月04日

两个表述再解释一下

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000085

问题如下：

Durian Bank's risk control manager is using Creditrisk + to calculate the bank's 1% credit var. Durian Bank now has two large loans, one is 20 million US dollars, the other is 30 million US dollars, the two are not correlated. Which of the following conclusions about credit var is wrong?

I.Both VaR and WCL could be equal to zero.

II.Expected loss could exceed VaR

III.Expected loss is always smaller than the VAR.

选项：

A.

I and III

B.

I ONLY

C.

I and II.

D.III.

解释：

D is correct.

考点：Credit VaR

解析：比如两笔贷款的违约概率都是0.5%，两者联立的不违约概率是0.995*0.995等于99.0025%。此时99%的credit var等于0。worst case loss也是0。而expected loss不为零，比var和wcl大。

再解释一下两个表述 不是很懂第一个表述的含义

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1 个答案

DD仔_品职助教 · 2021年10月04日

嗨，爱思考的PZer你好：


credit var=WCL-EL

这里是举了个例子来说明：有两个贷款的违约概率都是0.5%，那么他们一起都不违约的概率就是99.5%*99.5%=99.0025%，也就是说99.0025%的情况下损失为0。如果现在要求99%置信区间下的情况，99%的var和WCL肯定是0，因为超过99%的情况损失都是0了，99%的情况肯定也是0，所以I对。

expected loss=PD*EAD*LGD,我们不能计算出EL具体是多少，但是能确定EL肯定不是等于0的，因为PD=0.05%,EAD也肯定不是0，所以II说EL可能超过var也对。

那么III肯定就不对了

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