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Consider a portfolio of loans with the following characteristics: loan A has face value of 100, defaults with probability 10%, and the recovery rate is
Consider a portfolio of loans with the following characteristics: loan A has face value of 100, defaults with probability 10%, and the recovery rate is 80%. loan B has face value of 100, defaults with probability 50%, and the recovery rate is 90% loan C is identical to loan B. The three loans are all uncorrelated: =0 across all three loans. Calculate the Credit Value at Risk (CVar) at the 96% confidence level.
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