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Suppose that a bank has a total of $25 million of small exposures of a certain type. The one-year probability of default averages 1.8% and

image text in transcribed Suppose that a bank has a total of $25 million of small exposures of a certain type. The one-year probability of default averages 1.8% and the recovery rate averages 51%. Estimate the 99.9% one-year credit VaR using Vasicek's model if the copula correlation parameter is 0.25 . Answer The worst case default rate (in \%, round to two decimal places) = The 99.9% one-year credit VaR (in \$ million, round to three decimal places) =

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