HANDBOOK 442页 18.6
A portfolio consists of two bonds. The credit VAR is defined as the maximum loss due to defaults at a confidence level of 98% over a one year horizon. The probability of joint default of the two bonds is 1.27% , and the default correlation is 30%. The bond value, default probability , and recovery rate are USD 1000000, 3% and 60% for one bond, and USD 600,000 ,5% and 40% for the other. 此为题干
what is the best estimate of the unexpected credit loss(away from the ECL), or credit VAR, for this portfolio?
我的理解是
Worst Loss-Expected Loss=unexpected loss=credit var
worst loss, 2个BOND都100% default
Worst loss=1000,000*100%*(1-0.6)+600,000*100%*(1-40)=$760,000
expected loss 从18.5算出等于30,00
减一下即可。答案看不明白,请高手解释。
2007FRM 87题
Consider the following one period transition matrix
Next Period State
A B Default
Initial period state A 95% 5% 0%
B 10% 80% 10%
Default 0% 0% 100%
If a company is originally in State A, what is the probability that the company will have defaulted strictly before the fourth transition period from now?
这个最后一句话STRICTLY BEFORE FOURTH TRANSITION是3段的意思,OK,那么
A-A-B-D
A-B-B-D
A-B-D-D
这个是答案的解释,那可不可以
A-A-A-D
A-B-B-D
A-A-D-D
A-D-D-D
A-B-A-D
A-D-D-D
诸如此类的,不太明白,答案中如果可以D-D,那么下面的从A--D的路径理论上来说应该也可以吧?
2007,FRM真题,第26题
Consider a portfolio consisting of USD 10 million of Interl shares and USD 5 million of GE shares. The returns on the two stocks have a bivariate normal distribution with a correlation of 0.3. The daily return volatility of Intel and GE is 2% and 1%, respectively. The standard deviation of daily changes in the value of the Intel position is USD 0.2million, and the standard deviation of daily changes in teh value of the GE position is USD 0.05 million. The daily VAR at the 99% confidence level is USD 0.5131 million. What is the incremental daily VAR of the portfolio for a small increase in the position on the Intel shares over a one day horizon at 99% confidence level?
答案是 Z*covariance/sd.of portfolio,想不明白,吴佚讲的时候也是一扫而过,想不明白,请高手解释
2006FRM真题3
A risk manager for ABC bank has compiled the following date regarding a bond trader and an equity trader. Assume that the returns are normally distributed and that there are 52 trading weeks per year. ABC bank computes its capital using a 99% VAR, the after tax profits are all inclusive
After tax profit Net bok market value Weekly volatility tax rate
bond trader USD 8 USD 120 1.1% 40%
equity trader USD 18 USD 180 1.94% 40%
using the ABC bank date, calculate the annual risk adjusted return on capital(RAROC) for the bond trader?
我的算法是 RAROC=profit before tax/VAR
profit before tax for bond trader 8/(1-0.4)=13.33
VAR=52^0.5*1.1%*2.33=0.1848
RAROC=13.33/0.1848=72.12
HANDBOOK 104页 4.10
Let N be an n*1 vector of independent draws from a standard normal distribution, and let V be a covariance matrix of amrket time-series data.Then, if L is a diagonal matrix of the eigenvalues of V, E is a matrix of the eigenvectors of V, and C'C is the cholesky factorization of V, which of the following would generate a normally distributed random vector with mean zero and covariance B to be used in a Monte Carlo simulation?看不懂答案
5道题目,求解,谢谢。