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Suppose you have two uncorrelated bonds, A and B, with different levels of risk. If a bond defaults, it loses all of its value, if

Suppose you have two uncorrelated bonds, A and B, with different levels of risk. If a bond defaults, it loses all of its value, if it doesnt default it retains all of its value. Probability of default for bond A is 3%, while for bond B it is 10%. If you invest $100M in each bond compute the following: a. VaR(95%) b. ES(95%) c. VaR(98%) d. ES(98%

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