#### amit.m.sharma

##### Member

on question 2: UL-EL; 4*bonds notional minus 5%of portfolio.

on q54: it should be 0.32 autocorrelation 1 lag.

Do you remember your answer for question 2? Based on BT discussion the correct way to solve is to take the BINOM.INV function on excel which gives you 7 defaults. So, I believe Credit VAR = (7-4)*6mil = 18 mil. I definitely got this one wrong, I chose 11.xx%