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Suppose there are two corporate bonds a and B with a face value of 100 yuan and different defaults at the same time, and the
Suppose there are two corporate bonds a and B with a face value of 100 yuan and different defaults at the same time, and the initial value is 98.9 yuan. Under the occurrence of different period end events, the payment of these two bonds is shown in the table below. Calculate the VaR and ES of the respective losses of bonds A and B and the VaR and ES of the portfolio losses at the 95% confidence level.
Events | A | B | A+B | P |
1 | 70 | 100 | 170 | 3% |
2 | 90 | 100 | 190 | 2% |
3 | 100 | 70 | 170 | 3% |
4 | 100 | 90 | 190 | 2% |
5 | 100 | 100 | 200 | 90% |
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