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Suppose that a bank has a total of $10 million of small exposures of a certain type.

01 / 10 / 2021 Research Papers

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18.11 Suppose that a bank has a total of $10 million of small exposures of a certain type. The… 1 answer below » 18.11                   Suppose that a bank has a total of $10 million of small exposures of a certain type. The one- year probability of default is 1% and the recovery rate averages 40%. Estimate the 99.5% one-year credit VaR using Vasicek’s model if the copula correlation parameter is 0.2. Nov 16 2015 11:48 AM



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