Question
Assume that your bank underwrote 5 loans to various hedge funds each valued $ 1 million each. The PDs (1% each) of each hedge fund
Assume that your bank underwrote 5 loans to various hedge funds each valued $ 1 million each. The PDs (1% each) of each hedge fund are independent of each other and follow a binomial distribution. Assume that the recovery rate is 70% for each loan.
What is the 99% CVAR?
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Solution To calculate the 99 CVAR Conditional ValueatRisk of the portfolio of loans w...
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Fundamentals of Advanced Accounting
Authors: Joe Ben Hoyle, Thomas Schaefer, Timothy Doupnik
6th edition
0-07-786223-6, 101259095592, 13: 978-0-07-7, 13978125909559, 978-0077862237
