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雷达卡
金程习题上的，FRM 1998年试题： A German Bank lends 100M DEM to a Russian bank for one year and receives 120M DEM worth of Russian government securities as collateral. Assuming that the 1-year 99% VaR on the Russian government securities is 20M DEM and the Russian bank’s 1-year probability of default is 5%, what is the German bank’s probability of losing money on this trade over the next year? A. Less than 0.05% B. Approximately 0.05% C. Between 0.05% and 5%, it is exactly 5% D. Greater than 5% 答案是C，理由是，如果证券下跌20以上和那家银行违约是独立事件，那么概率就是0.05%，如果证券下跌的同时银行也更容易违约，那么概率就是0.05%和5%之间。 我的问题是：那么如果证券下跌的同时银行反而不容易违约呢？更一般地来说，事件A,B的概率分别是p1,p2，并且p1+p2<1，条件概率未知，那么A,B同时发生的概率是有可能等于0的啊（如果A,B互斥的话） 到底怎么解释呢，还请高人解答，十分感谢！ |
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