R38.P2.T6 Malz_Credit Risk

shardasb

New Member
Hi David,
In R38.P2.T6.Malz_v3.pdf on page 41, you have given "Number of defaults" for 0 correlation(Binomial distribution). I need to know how to calculate that. That means if n=100 & p=1% , then how to calculate "number of defaults" at 95%.
Can you please let me know.

Regards,
Sharda
 

David Harper CFA FRM

David Harper CFA FRM
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