【FRM每日一题】二级：信用风险测量与管理（2）
备考FRM二级 | 2015-10-15
Suppose there is a $1,000,000 portfolio with n = 50 credits that each has a default probability of π =0.02 percent and a zero recovery rate, the default correlation is 0. In addition, each credit is equally weighted and has a terminal value of $20,000 if there is no default. The number of defaults is binomially distributed with parameters of n = 50 and π = 0.02, and the 95th percentile of the number of defaults based on this distribution is 3. What is the credit VaR at the 95% confidence level based on these parameters?
A.$30,000
B.$40,000
C.$50,000
D.$60,000
Answer: B
The expected loss is $20,000 ($1,000,000×0.02). If there are three defaults, the credit loss is $60,000 (3×$20,000). The credit VaR at the 95% confidence level is $40,000 (calculated by taking the credit loss of $60,000 and subtracting the expected loss of $20,000).
HANDBOOK + NOTES + CORE READING下载：http://frm.gfedu.com/experience/part1/22469.shtml
相关标签 FRM一级
