8 Consider a bond portfolio manager which holds a portfolio worth 100,000 of a single bond. The bond is currently rated Aa according to Moodys. If the rating changes the value of the bond will change in the following way:

Rating	Price Change %
Aaa	+10%
Aa	0
A	-3%
Baa	-5%
Ba	-10%
B	-15%
Caa	-30%
Ca-C	-50%
Default	-90%

Calculate the 99% one year CreditVaR

Calculate the 95% one year CreditVaR

Calculate the 99% one year Expected shortfall based on credit risk.

Calculate the 95% one year Expected shortfall based on credit risk.

(you may use the transition probabilities from lecture 6)

Confidence	VAR	MaxVAR	Chi Squared
95%	1.645	1.960	3.84
99%	2.326	2.576	6.64