A portfolio contains three independent bonds each with identical $100 par value, 3% probability of default and LGD of 100%. What is the 95% confident and 99% confident portfolio VaR?
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%
解析部分完全没看懂。。。
已回答
Rank the following common credit risk mitigation options from greatest security to lowest security: I. Parental guarantee II. Letter of Credit III. Securities as colllateral(with a haircut parameter of 0%) IV.Cash
答案是IV, II, III, I
请老师解答下I, II, III分别是什么,为什么这样排序,谢谢