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estimate the credit VaR (CVaR) of a bond. CVaR is defined as the maximum unexpected loss at a 99.9% confidence level, over a one-month horizon.

estimate the credit VaR (CVaR) of a bond. CVaR is defined as the maximum unexpected loss at a 99.9% confidence level, over a one-month horizon. The bond is worth $1 million in one month, the cumulative default probability over one year is 15% for this bond, and the loss given default is 100%. What is your best estimate of the CVaR for this bond?

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