NO.PZ2020033003000035
问题如下:
Assume an investor has a credit position that has a market factor sensitivity of 0.4 and the
default threshold is at the 95% confidence level. According to the information above, what is
the realized market value used to reach this threshold
?
选项:
A.-0.257.
B.-0.379.
C.-0.512.
D.-0.658.
解释:
D is correct.
考点: Single Factor Model
解析:95%对应的confidence level也就是5%的default loss level在标准正态分布里对应-1.645。
通过单因素模型:
可以解出m是-0.658。
我列的式子和答案完全一样!但是我算出来的是-0.343?
竟然没有其他小伙伴有同样的问题?
是我计算器坏了吗?1-.4^2 = 0.84 开根号 = 0.9165
0.4*m = 0.1374 m=0.343
我的计算器是哪步坏的呀???
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