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Consider a portfolio which can have a loss over 1 year of 1 m with probability 9 % , or a loss of 1 0
Consider a portfolio which can have a loss over year of with probability or a loss of with probability For example, the portfolio could consist of two bonds, with the respective default probabilities. Compute the valueatrisk and expected shortfall for this portfolio at confidence level
Consider a portfolio which can have a loss over year of with probability or a loss of with probability For example, the portfolio could consist of two bonds, with the respective default probabilities. Compute the valueatrisk and expected shortfall for this portfolio at confidence level
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