题目
A portfolio contains three independent bonds each with identical (i.i.d.) $100 par value, 3.0% probability of default (EDF) and loss given default (LGD) of 100%. What is, respectively, the 95.0% confident and 99.0% confident portfolio value at risk (VaR)?
选项
A.zero and zero at both 95% and 99%
B.$100 and $100 at both 95% and 99%
C.$200 at 95% and $300 at 99%
D.$285 at 95% and $300 at 99%
答案
B
解析
Probability of zero defaults= 〖(97%)〗^3=91.26% Probability of exactly one default (binomial)=C_n^k p^k 〖(1-p)〗^(n-k)=3×3%×〖(97%)〗^2=8.468% Cumulative Prob [zero or one default] is 99.74%. Both the 95% VaR and 99% VaR are one default. 0违约的可能性= 〖(97%)〗^3=91.26%只有一个违约的可能性（二项分布）=C_n^k p^k 〖(1?p)〗^(n?k)=3×3%×〖(97%)〗^2=8.468%上两种状况的累计概率为99.74%。95%VaR和99%VaR为默认值「huixue_img/importSubject/1564170387745542144.png」