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标题: 请高人解答一道FRM考试题 [打印本页]

作者: Mechanic    时间: 2012-6-6 08:26     标题: 请高人解答一道FRM考试题

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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