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dannyni · 2021年10月05日

不太明白改题解题逻辑

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000008

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%.

what is the best estimate of the credit VaR at a 98% confidence level?

选项：

A.

USD 17,400,000

B.

USD 21,400,000

C.

USD 41,400,000

D.

USD 44,000,000

解释：

B is correct.

考点：Credit VaR

解析：

Bond A 违约的损失是60*（1-60%）=24 million

Bond B违约的损失是40*（1-50%）=20million

A、 B同时违约的概率是 0.5% 24+40=44 million

Bond A 违约但是bond B不违约的概率是 5%-0.5%=4.5%

Bond B违约但是bond A不违约的概率是7%-0.5%=6.5%

根据谨慎性原则 98% confidence WCL=24million

credit VaR=24-2.6=21.4 million

我的计算逻辑是先算El for portfolio就是2.6 再算WCL 这里找2% 但是100m 60M 40M三个加起来的概率都没到2% 希望老师帮忙解析下，谢谢

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1 个答案

李坏_品职助教 · 2021年10月07日

嗨，从没放弃的小努力你好：


这里要根据AB同时违约的概率0.5%，算出来仅有Bond A违约和仅有Bond B违约的概率。


Bond A违约但是B不违约的概率是P（A违约） - P（A和B都违约） = 5% - 0.5% = 4.5%。 这就已经超过了2%了。所以WCL要去找60 * （1-60%）= 24million。

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努力的时光都是限量版，加油！

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