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QUESTION 4 4.1) A risk analyst is trying to estimate the credit VaR for a risky bond. The credit VaR is defined as the maximum

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QUESTION 4 4.1) A risk analyst is trying to estimate the credit VaR for a risky bond. The credit VaR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that the bond is valued at $1,000,000 one month forward, and the one-year cumulative default probability is 2% for this bond. What is the credit VaR for the bond, assuming no recovery? (12 %)

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