Suppose that the credit loss in a year has a lognormal distribution. The logarithm of the loss

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Suppose that the credit loss in a year has a lognormal distribution. The logarithm of the loss is normal with mean 0.5 and standard deviation 4. What is the economic capital requirement if a confidence level of 99.97% is used?

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Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 03:00 AM

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Suppose that the credit loss in a year has a lognormal distribution. The logarithm of the loss

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Risk Management And Financial Institutions

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