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Consider an A-rated 5-year subordinated bond has face value $100 and pays an annual coupon at the rate of 5%. Using CreditMetrics model and all

Consider an A-rated 5-year subordinated bond has face value $100 and pays an annual coupon at the rate of 5%. Using CreditMetrics model and all the data in the lecture notes to calculate the 1-year 99% credit VaR when a. the loss distribution is a normal distribution. b. the loss follows its actual distribution.

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