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Consider a static credit portfolio with m = 1000 obligors which we model as mixed binomial model with a logit-normal mixing distribution (for one year,
Consider a static credit portfolio with m = 1000 obligors which we model as mixed binomial model with a logit-normal mixing distribution (for one year, say) and where each loan has notional 1 million SEK and the individual loss is l = 60%. We know that the one-year LPA- VaR formula produces the values VaR 95%(L) = 101.4 million SEK and VaR 99%(L) = 285.8 million SEK. Given this, compute the one-year VaR(L) for a = 99.8% with the LPA-VaR formula. Consider a static credit portfolio with m = 1000 obligors which we model as mixed binomial model with a logit-normal mixing distribution (for one year, say) and where each loan has notional 1 million SEK and the individual loss is l = 60%. We know that the one-year LPA- VaR formula produces the values VaR 95%(L) = 101.4 million SEK and VaR 99%(L) = 285.8 million SEK. Given this, compute the one-year VaR(L) for a = 99.8% with the LPA-VaR formula
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