CVAR: another problem

[Kavita.bhangdia]

Hi David,
when we compute CVAR using the quantile methodology for a single bond according to Malz..

Say a BBB rated bond was bought at 106$.

The probability of bond migrating to
BB is 1.74%, priced at 98.10$
C is .3% priced at 8.64.$
default is .18% priced at 51.13$

IF we have to calculate the CVAR at 99 percent.

Then for .o1 quantile what could be my loss.. ( Because .18%+.3% = .48% which is less than 1% and .3%+.18%+1.74% = 2.22% which is more than 1% qunatile)..

How do we know the 1% quantile in this case?

Thanks Kavita

 

[brian.field]

I would appreciate a schematic in this too to clear things up a bit.