1. We note L the portfolio loss of n credit and w, the exposure at default...
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1. We note L the portfolio loss of n credit and w, the exposure at default of the i-th credit. In addition, let L(w) =we=1 Xe where the unit loss of the i-th credit. Further, let F be the cumulative distribution function of L(w). (a) We assume that = (,en)~ N(0, 2). Compute the value-at-risk VaRa (w) of the portfolio when the confidence level is equal to a. (b) Deduce the marginal value-at-risk of the ith credit. (c) Show that the marginal value-at-risk is equal to: VaRa(w) w = E[e|L(w) = F-(a)] 2. We consider the Basel II model of credit risk and the value-at-risk risk measure. The expression of the portfolio loss is given by: L=EAD, X LGD; x1(r 2. We consider the Basel II model of credit risk and the value-at-risk risk measure. The expression of the portfolio loss is given by: L=E1 EAD, X LGD X 1{ 1. We note L the portfolio loss of n credit and w, the exposure at default of the i-th credit. In addition, let L(w) =we=1 Xe where the unit loss of the i-th credit. Further, let F be the cumulative distribution function of L(w). (a) We assume that = (,en)~ N(0, 2). Compute the value-at-risk VaRa (w) of the portfolio when the confidence level is equal to a. (b) Deduce the marginal value-at-risk of the ith credit. (c) Show that the marginal value-at-risk is equal to: VaRa(w) w = E[e|L(w) = F-(a)] 2. We consider the Basel II model of credit risk and the value-at-risk risk measure. The expression of the portfolio loss is given by: L=EAD, X LGD; x1(r 2. We consider the Basel II model of credit risk and the value-at-risk risk measure. The expression of the portfolio loss is given by: L=E1 EAD, X LGD X 1{
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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