开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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

添加评论
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。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 323

    浏览
相关问题

NO.PZ2020033002000008 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%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000 B.US21,400,000 C.US41,400,000 US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 这个2.6m的EL是怎么算的？

2024-10-23 22:13 1 · 回答

NO.PZ2020033002000008 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%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000 B.US21,400,000 C.US41,400,000 US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 这个WCL=24million怎么来的？能否详细讲一下这个24million的过程

2024-10-01 19:31 1 · 回答

NO.PZ2020033002000008 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%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000 B.US21,400,000 C.US41,400,000 US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 如题

2024-08-28 08:34 1 · 回答

NO.PZ2020033002000008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%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000B.US21,400,000C.US41,400,000US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 另外，一个发生违约另一个不违约概率是怎么求的？在不独立的情况下。谢谢

2023-10-03 17:07 3 · 回答

NO.PZ2020033002000008 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%. Give assumption ththe probability of joint fault is 0.5% anthe fault correlation is 20%. whis the best estimate of the cret Va 98% confinlevel? A.US17,400,000 B.US21,400,000 C.US41,400,000 US44,000,000 B is correct.考点Cret VaR解析BonA 违约的损失是60*（1-60%）=24 millionBonB违约的损失是40*（1-50%）=20millionB同时违约的概率是 0.5%BonA 违约但是bonB不违约的概率是 5%-0.5%=4.5%BonB违约但是bonA不违约的概率是7%-0.5%=6.5%根据谨慎性原则 98% confinWCL=24millioncret VaR=24-2.6=21.4 million 计算Cret VaR（也就是UL）有两个式子，如下为什么这题是用第一个WCL-ECL，而不是用第二个式子？明明题干也给出能够计算出UL1和UL2的条件了。

2023-09-03 13:58 1 · 回答