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我们 · 2021年11月03日

请问这里最后一步

  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 0.7% 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

请问24-2.6，2.6是怎么来的呢
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2 个答案

DD仔_品职助教 · 2021年11月04日

嗨，从没放弃的小努力你好：


AB同时违约的概率是0.7%，损失是44m

A违约的概率是5%，损失24m

B违约的概率是7%，损失20m

我们取的是98%WCL，44的违约概率是0.7%，是累计概率是99.3%，我们取不到，98%WCL要取24m，他的累计概率在95.3%~99.3%之间，包含98%。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

DD仔_品职助教 · 2021年11月03日

嗨，从没放弃的小努力你好：


credit var=unexpected loss=worst credit loss-expected loss

我们已经计算出WCL=24

EL=ELA+ELB

ELA=60*5%*（1-60%）=1.2

ELB=40*7%*(1-50%)=1.4

EL=1.2+1.4=2.6

credit var=24-2.6=21.4

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

我们 · 2021年11月04日

根据谨慎性原则，为什么WCL不是44？而是24

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