Search results

I'm not sure where to put this question, so I apologize if it's in the wrong thread. I read that default correlation has no influence on EL. I don't understand that. For a portfolio, EL is a simple product of EAD, PD, and LGD. In this case, PD is the combined default probability of the entire...

Hi, I have the following understanding - Does this make sense or am I missing something here? We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...