Hi David,
"A portfolio has two risky bonds. each bond is $500000. the monthly PD for each is 0.1682%. What is the best estimate of the monthly 99.9% credit VaR for this portfolio, assuming no default correlation and no recovery?
a) $841
b) $1682
c) $998318
d) $498318"
Answer is d. Could you please explain? I think c may make more sense, but cannot think straight
Thank you!
"A portfolio has two risky bonds. each bond is $500000. the monthly PD for each is 0.1682%. What is the best estimate of the monthly 99.9% credit VaR for this portfolio, assuming no default correlation and no recovery?
a) $841
b) $1682
c) $998318
d) $498318"
Answer is d. Could you please explain? I think c may make more sense, but cannot think straight
Thank you!