Question
You have a portfolio with two bonds worth $100 each. Each bond has a 4% probability of defaulting. If the bond defaults it is worth
You have a portfolio with two bonds worth $100 each. Each bond has a 4% probability of defaulting. If the bond defaults it is worth $0. If it does not default it is worth $100. Defaults are independent of each other. What is the 95% VaR of each bond, and of the portfolio?
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Economics For Financial Markets
Authors: Brian Kettell
1st Edition
0750653841, 978-0750653848
