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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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